live cd restarts

I am new to this operating system and I was wondering how to fix this problem. Every time I restart my computer all my programs and setting are back to default. Its like I never did anything in the first place. I was just wondering how to fix this so that when I restart my session would be just as I left it. All my documents programs and everything is gone and back to normal when I reboot from my live cd.

A live cd is just for testing
You can’t save anything.