How do I keep arduino working after unplug

Maybe I don't explain myself... I mean, I upload a scketch and it works, when I unplug the arduino from the PC, and plug it again to the PC, the arduino doesn't do what I programmed anymore, it is like erased =S, I need to upload the scketch again and it works.

I like to know how I record that scketch in the arduino, and don't have this problem!!

Please! help! ='S