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Well, 2 ways.

One is to actually install fedora on your drive (select your drive as the destination drive rather than the HDD of your computer).

The second is to use a persistent live USB as detailed in this link http://fedoraproject.org/wiki/HowtocreateanduseLiveUSB#Data_persistence

What you're doing right now is using a Live CD without persistence which is meant to be temporary to try out the distro or installing to HDD.