How do I set my laptop to hibernate when the battery dies?

How do I set my laptop to hibernate when the battery dies?

Just got a new HP Laptop, brand new, with windows Vista. The first time I used the whole battery, the battery died, and the machine just shut off and lost all of my data. My old laptop would hibernate when the battery died (saving all my data). How do I change this setting? Is there something wrong with my laptop?
Any help would be, really, really appreciated!