Power DVD has an option, configuration > player setting > dvd auto resume setting > 'resume playback from the last scene', but many programs have difficulty with adopting to fast user switching feature of XP as they have been designed for single users on a single computer. Also make sure that 'Terminal services' and 'Fast User Switching Compatibility Services' are enabled and running in services.msc.
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(__\_\_|_/__) "Our life is shaped by our mind; we become what we think. One who conquers himself is greater than another who conquers a thousand times a thousand on the battlefield". Buddha, Siddhartha Gautama