This means that PSPad will remember which files are open when you close the program. Then it reopen them all when the program is restarted. Also the by enabling Remember File State, cursor position, highlighter, and bookmarks are saved each file you have opened.
For details about how to enable or disable desktop saving see Files and dirs.
If desktop saving is disabled then no
record is kept of which files are open when the program exists. When
PSPad restarts it opens in the default state using the option
"Auto Open New File after Start" (see Program - behaviour).
If you set desktop saving to be on all the time then starting PSPad by say, double clicking on a file in Windows Explorer and then exiting PSPad again will cause the system to reopen that file when you next start PSPad.
The third option for desktop saving means that only files opened directly in PSPad, rather than by, say, double clicking in Windows Explorer, or dragging and dropping a file on to the PSPad shortcut, are remembered. What this means in practice is that you can have a project open, close PSPad, then later open PSPad via Windows Explorer without having your remembered desktop overwritten.