You need to have hibernation support enabled. It's in the power management settings in control panel. If it's not there try updating your drivers for some of the hardware in your computer. What it does is instead of shutting down it saves the ram to the hard disk and then powers off completely. Then when it loads up, it loads the data from the hard disk into the ram and starts wherever you left off. So it will start playing whatever song you were playing when you turned it off.

Tom