python confusion possibly related to pickle

[Dennis]

I have a problem that I don't understand at all. I run a python script, 
which uses pickle, and it fails. That alone is, perhaps, no big deal.

The problem that's got me annoyed is that after getting said error I 
close the shell window, open a new one, run the python interpreter and 
type "import pickle" and get the error that the script I'd run earlier 
caused. Why is this ?

To my knowledge, once python stopped running it didn't store anything 
related to the last time it was run.