You would have to save out each item, object, state etc for the game in hand, which can get complex if you haven't organized your data structures well. If you have neat types holding the data and are able to ressurect and create the objects neatly, then it should be possible. A lot of game have save points, like right at the start of a dungeon, or inbetween levels - these games usually just reset the level and start the game from there, so only saving the player information, rather than the position and state of everything in the game.
Once you can save your game, you can just intercept the quit routine so it 'autosaves', then the next time you start, just have a continue option.
Health, Ammo, and bacon and eggs!
