Programs quit when computer goes to sleep

Help! I'm running OS 10.6.8 (Snow Leopard) on both my iMac and my Air. On both computers, when the computer goes to sleep it almost always closes all my open programs and files. When I wake up the computer, I'm prompted to log in, and I have to reopen everything I was working on.

Anybody have any solutions? Is there something I'm not seeing in the sleep preferences menu? Do I need to reinstall the system software?