In order to continue with your analysis session later on, you have to save it by selecting File->Save session. All the datasets and their relationships are saved as a session, which is packed into a single compressed file. Session files have an extension .zip, because they are ZIP compressed to save space. You can continue the session also on another computer by copying the session file there, or you can share it with your colleague.
Session can be loaded by selecting File->Open session. By default the current data is cleared before another session is loaded, but you can select "Add to current session" from the session file dialog to combine the existing session with the one from the session file.