Persistence on ubuntu bootable disk?

Hello, i currently have a Ubuntu boot-able disk and what I want to do is insert this cd and surf from it live. I do not want to install it on my computer. I want to wipe all files when I am done with my session. So I tried this with my boot-able Ubuntu 9.04 linux cd. and when I was done with my session it did not ask me if i wanted to save my session? I don't want this session saved (security reasons) so did this session save is my question?