It is a simple mistake to make, especially if you are new to Ubuntu. You are running a Live CD/USB. Any changes you make are temporary, and are lost when you shutdown or reboot. You are basically doing this: Try Ubuntu before you install it.
You need to actually install it on to your hard drive. When you start the system next, click on the Install button, instead of the Try. This will then run you through the steps necessary to instal Ubuntu on your hard drive. Once that has finished, power down, remove the USB stick, and then start the PC as normal. Now, when you create any files, they will be saved permanently and be there the next time you reboot.
This page Installation/FromUSBStick should help you:
Outline
The general procedure to install Ubuntu (or Ubuntu flavour, Kubuntu,
Lubuntu, Xubuntu, ...) from a USB flash drive is:
- Acquire the correct Ubuntu installation files ('the ISO')
- Put Ubuntu onto your USB flash drive
- Configure your computer to boot from USB flash drive and boot from
it
- Try Ubuntu (Kubuntu, Lubuntu, Xubuntu, ...) before installing it
- Install Ubuntu to your internal drive (hard disk drive or solid
state drive).