It's a crashing thing. When you work on a file, it's only working in the RAM (working space) of your computer. So, when a crash happens, the RAM empties, and there's nothing there anymore. When working on a file - remember to save OFTEN! That put the file on the hard drive, and in the event of a crash, you can go back to the last saved state.
If you've set up your Prefences like the attachment, then when you reopen PS, it should prompt you whether you want to reopen from the auto-saved state.