I used to have this disabled. However, the next time the app is launched - in my case, PREVIEW - it automatically opens the last document which was used in that app AS WELL AS the new one selected to open. Most annoying. The only way to avoid that, as far as I know, is to select "Close Windows When Quitting Apps" so that only the desired file opens the next time the app is launched.
There is another way: close the open window (⌘W) or close the open document (⇧⌘W) before you quit Preview or shut down your computer. This has the added advantage of freeing up RAM for use by other apps.
