I live outside US, which means, a power outage from time to time is normal, but when that happens in the middle of a crucial moment is very stressful. I went to the BIOS and turned on the option Restart After Power Failure, though it wasn't what I was looking for.
Is there a way to set my Windows 7 to resume my last session (all the programs I was using) after power failure ?
You need a Universal Power Supply. They're expensive for the better quality.
At the very least, get a decent (spend at least 30 dollars) and get a surge protector with a 2600 joules or higher rating.
My Personal opinion is, that if power outages are common, Go with the UPS.
like the posters above said, you have a short while to save things.