Session - Remember Running Apps not working? FC10

[Dave Bolt IT Solutions]

I am under the impression that using the System->Preferences->Personal->Sessions->Options I can have Fedora 10 remember the running applications when I log out, and hopefully start them again when I log in.
I certainly could do this with FC8, although I don't remember how I enabled it.
Am I using the wrong setting, or is this a problem other people are seeing?
Thanks
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