Fuel pressure question...?

When you shut off your car, should you immediately loose fuel pressure.
My car is seeming to start harder, and I have to pump the gas and hold it to the floor to start it, which of course is embarrassing when your car revs to 4000rpm every time you start your car.

I do have a fuel pressure gauge on my car, and it is at 6-7psi, but as soon as the car is shut off it goes to zero.

Any ideas?

Thanks!