How do I turn off this annoying new Lion feature?

Okay so my problem is that whenever I open QuickTime and Preview, the program always opens the video or picture that I had previously opened.

For instance I opened a picture this morning, and then closed it and quit Preview. Now I opened a different one but the one I opened this morning just showed up again, uninvited!

The same happens with movies I open on QuickTime.

How can I turn this option off?

Many thanks