I have found a solution :-
There is a setting in "gconf-editor" to tell gnome to save your windows on logout, and re-open them on the next login. Look under "/apps/gnome-session/options" for "auto_save_session"
only in one situation it is not working properly. I
opened many folders, then i killed nautilus using the application
"Force quit" , but when started nautilus from command line it is not
restoring all the windows which were open
but then this feature should be enabled by default in linux distros
BTW , every one please vote here:- http://brainstorm.ubuntu.com/idea/25464/