First, you need to switch on the customer default "File → Utilities → Customer Defaults → Gateway → General → Part → Write Bookmark File on Exit". This will make sure that a bookmark file is written as "yourusername_last_context.plmxml" under TEMP directory.
When you want NX to load this bookmark, you can launch NX with the following command :
ugraf.exe -retrieve:%TEMP%\%username%_last_context.plmxml
Or, you could use File-Open to load the .plmxml file.