By default, published Player content saves outline bookmarks and preference settings in cookies that are saved on a user's computer. With outline bookmarks, a user can exit and restart the Player, and it will automatically display the last document the user was viewing. Settings changes on the Preferences dialog are also saved by default. 

You can disable this functionality in the config.js file in the published Player package by editing the config.js file in the root of the published Player package. You can also configure this setting in the Player Publishing style using the config.xml file.  Edit the EnableCookies variable and change the value to false.