My changes always disappear when I log back in!

I have recently started using WP, and am using a local server (server2Go) as my host server…..I have moved the unzipped WP folder into the hp_config folder (or whatever it was called..), and I managed log on to WP, make changes, download stuff, post etc. BUT, when I shut down and Server2Go shuts down, and I load it back up, log into Server2Go put in the WP database again, log into my WP a/c it’s like I am doing it for the first time!! The site DOES remember if I downloaded a theme, but it isn’t actually uploaded to my site, all posts are gone etc.

I don’t know, it’s probably something VERY simple that I am not doing….any help or tips would be appreciated.

Thanks!