How do you permanently upload a sketch to Arduino Micro?

With the Arduino Uno, after you upload a sketch, the sketch remains on the board after you unplug out and replug in the device. However with the Arduino Micro, it seems as though the sketch disappears after it loses power. Is there anyway to permanently upload the sketch to the Micro?

That should not happen. It should keep the last sketch through multiple power cycles. Both of mine do, anyway.

Does it happen with all sketches or just one in particular?