[robg adds: If you try the above link to the Apple KnowledgeBase, you'll find that it fails. For some reason, shortly after publishing the article, Apple pulled it. You can also change the file type if you've installed the Developer Tools by using the SetFile utility in the Terminal. Once changed, you should be able to play and stop and pick up again at the same spot when you return.
Warning: Not knowing why Apple removed the KnowledgeBase article, consider this hint somewhat experimental -- perhaps there are downsides to this change that we are not aware of.]

