There is a way to shut down a computer running Windows XP while saving the entire state of the computer to the hard disk. This is called Hibernation. If you use this method, you can save all the progress made on a WCG work unit without worrying about check points. davidhobbs discusses this at
http://www.worldcommunitygrid.org/forums/wcg/viewthread?thread=8512#69122On my computer, I have to select Start - Turn Off Computer and then press the SHIFT key. When I do this, the Standby option changes to the Hibernate option, which I can then select with my mouse. If the Hibernate option does not appear when you press SHIFT, select Start - Control Panel - Power Options and check the box beside Hibernate to enable it.
Thanks to David Hobbs for pointing this out!
Also, remember that this bypasses the normal boot process which is supposed to reinitialize your computer into a known good state. It is a good idea to reboot every few days just to avoid the build up of software errors and memory leaks from buggy programs.
Lawrence