MyMediaBookmarks can do this for you, it was built with this idea in mind.
Always watching videos with Windows
Media Player and have to leave in the
middle? Then you need to remember the
position of the movie and continue
The same for audio! Are you in the
middle of a great mix and you need to
leave in the middle? Don't bother
searching the last position any
longer. Let MyMediaBookmarks do this
MyMediaBookmarks is a Windows Media
Player (WMP) plug-in which allows you
to create bookmarks for audio and
video files. This free, easy to use
plug-in can automatically create
bookmarks and continue audio and video
files. This way, you don't have to
keep remembering the position of the
media and seek to that position when
media is interrupted.
The supported operating systems are Windows ME, Windows NT, Windows 2000, Windows XP, Windows 2003, Windows Vista and Windows CE. It doesn't list the versions of WMP compatible, but I assume they indicate it is compatible with the default version shipped with these versions of Windows.
MyMediaBookmarks is freeware.