Morphuis was correct about the run switch in the processor, but that will only tell the processor to start up in Run mode. If the PLC is powered down, it will lose the program unless you indicate that you want it to automatically load a boot project. First of all, you should create a boot project by selecting the "Online" menu choice and then select "Create Boot Project". This will create the Boot Project file. Next, click on the "Resources" tab, then select "Task Settings" from the project tree. This will open a dialog box, then click on the "General" tab. Make sure that the "Load BootProject Automatically" check box is checked. The next time you download the program, CoDeSys will ask you if you want to stop the processor to load the project. Select yes and download the project.
If you still have problems after doing this, I would suggest calling Wago tech support. They are very helpful and can walk you through the process.
Regards