Hello @Wiz57
Thanks for your reply and your welcome 
It prompted me to save the session the first couple of times I shutdown.
I saw briefly the first time that the session wasn't saved.
It is not prompting me to save the session now, but when the puppy is booting I see the following message:
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Loading savefolder /s15pup6422.12frugal/s15pup64save [sda3]...
When I shutdown I briefly see a message saying:
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s15pup64save mounted directly top layer, session already saved
Re grub I just did a standard install which installed grub4dos.
The menu options are all there for the 2 Windows partitions and Puppy partition.
The contents of my menu.lst are as follows:
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# menu.lst produced by grub4dosconfig-v1.9.3
color white/blue black/cyan white/black cyan/black
#splashimage=/splash.xpm
timeout 10
default 0
# Frugal installed Puppy
title Puppy s15pup64 22.12 (sda3/s15pup6422.12frugal)
find --set-root uuid () 6c2223c5-d95c-40cf-bbe2-43097fc1dccf
kernel /s15pup6422.12frugal/vmlinuz pdrv=6c2223c5-d95c-40cf-bbe2-43097fc1dccf psubdir=/s15pup6422.12frugal pmedia=atahd pfix=fsck
initrd /s15pup6422.12frugal/initrd.gz
# Windows
# this entry searches Windows on the HDD and boot it up
title Windows\nBoot up Windows if installed
errorcheck off
find --set-root --ignore-floppies --ignore-cd /bootmgr
chainloader /bootmgr
find --set-root --ignore-floppies --ignore-cd /ntldr
chainloader /ntldr
find --set-root --ignore-floppies --ignore-cd /io.sys
chainloader /io.sys
errorcheck on
# Advanced Menu
title Advanced menu
configfile /menu-advanced.lst
commandline
I don't see the 2 Windows partitions here so maybe I have the wrong file? The menu.lst came from the 1st partition (Windows Vista) root folder.
Should I just install S15Pup64 again?
Regards,
fbagnato