The sort order should not change when you close a file that is open on your computer. If you are hosting it from a different computer, the sort order, found set, etc will revert to whatever was the case the last time the file was opened on the host. If you are hosting with Filemaker server, that will be the last time it was opened directly with FileMaker Pro instead of hosted from the server.
But you can set up a script to sort your records into the desired order each time your file is opened or you can sort your records once on the host to have that as the "default" sort order that users first see when they open the file.
An Unsorted set of records will display in creation order, the order in which they were created. You can change the unsorted order by sorting your records into a different order, then importing all of them into a clone of your file--replacing your current copy of the file with the new one into which you imported the records.