Bootloader problems with Duemilanove

Have a new Duemilanove - attempting to use it to hack a Roomba. When it was delivered, it appeared to be able to load and run the Blink example with no problem after connecting with the provided USB cable. Can no longer run the examples. It appears that the bootloader no longer is running on the board. We have built the parallel programmer and can run the Burn Bootloader utility successfully. We can then upload a sample sketch which runs, but it appears that once the sketch completes, the bootloader exits as well, and we can not run another sketch unless we do the Burn Bootloader again.
Running the IDE from Windows XP

Any suggestions - my son and I are new to this, so not sure what other info might be needed. :cry:

What happens when the sketch fails to upload? What error message do you get?