The reason why I want to modify this is because every time I open the editor, it will automatically load all the files that were closed last time, which makes me bothered.
I want to change the settings, but I can not edit this file. What should I do?
It looks like you are trying to edit the default settings file, it cannot be edited and would get overwritten again by any updates to sublime.
Copy and paste your settings file in:
"User/Preferences.sublime-settings"
which overrides the default settings and will let you edit it.
For further reference on how to configure sublime: https://www.sublimetext.com/docs/3/settings.html