This is what I use. It's freeware. It remembers where you are in the book and when opened without selecting a book it remembers the last book you were reading.
FBReader is an e-book reader for Linux/Windows XP PDA/UMPC/desktop computer. FBReader supports several e-book formats: ePub, fb2, chm, rtf, plucker, etc. Direct reading from zip, tar, gzip and bzip2 archives is also supported.
http://www.fbreader.org/win32/FBReaderSetup-0.12.10.exe