Don't close all files before you exit UltraEdit. If you do that UltraEdit will store in the project file of the active project or in uedit32.ini if no project is currently active, that no file is open. Therefore UltraEdit will not open on startup any file automatically because no file was open on previous exit or project/workspace close. I give you an example for better understanding.
You have a project with following 5 project files:
The project with these 5 files is currently opened. But only file1.html, subdir2/file_y.html and file.css are opened in UltraEdit. The other 2 files are part of the project, but currently not opened.
No you exit UltraEdit. This triggers internally in UE a procedure to save the current project state. So UltraEdit saves in the project file that file1.html is open and the cursor is at line x column y in this file. Same information is stored in the project file for subdir2/file_y.html and file.css. Additionally UltraEdit saves in the project file which of the 3 files has currently the focus. Then it closes the 3 files. Next in uedit32.ini is saved that the project with name "???" using project file "..." is currently open and then the project is closed. Also existing FTP connections are automatically disconnected.
So when you next time start UltraEdit, it reads from uedit32.ini that project file "..." was open on previous exit. So it automatically opens the project again. Inside the project file is stored that file file1.html, subdir2/file_yhtml and file.css was open on previous project exit/close. So it re-opens that 3 files again, positions the cursors in the 3 files as stored on exit and sets the focus to the file which has had it on last exit.
In other words you can continue working exactly where you have stopped. Your workspace is restored like if you would have never closed UltraEdit.
If you close the files always manually before you close a project/workspace or before you exit UltraEdit, then UltraEdit just stores on exit, that nothing was open on exit and therefore nothing must be reloaded on next start. You always save an empty workspace on exit and so you get an empty workspace on next start.
By the way: UltraEdit saves the state of all open files in the project independent if every open file also belongs to the project or not. And that is also the difference between project and workspace. A workspace contains the data which files are open, where is the cursor in every file, which bookmarks are set on which line in every open file, what is folded, which file has the focus, ... A project contains the data which files belong to a project, independent if they are currently open or not or even if they exist, how the files are grouped, which filters should be used, ... Since UE v14 there is not anymore 1 file for project and workspace data. There is now 1 file containing the project data and 1 file containing the workspace data. That makes it possible that a group of users work at the same time on the same project with hundreds of files, but every member of the group has it's own workspace. If one user makes a change on the project, for example by adding a new file to the project, all other group members can immediately use it without having to fear that their workspaces get lost or changed in any way. Well, for projects with only 1 or 2 project members this separated handling of project and workspace data is not really necessary and maybe even unwanted.