<p>Am looking for checkpointing library for C#. Any ideas ?</p>

<p>see  <a href="http://en.wikipedia.org/wiki/Application_checkpointing" rel="nofollow noreferrer">http://en.wikipedia.org/wiki/Application_checkpointing</a></p>

If I understand you correctly (and the question is pretty vague so I'm not sure of this at all) then Windows Workflow Foundation certainly has this capability.  However, it's almost certainly overkill for what you're asking.
Okay, you added a link that better explains what you mean by checkpointing.
With that in mind, .Net doesn't have anything built in to support this directly.  However, anything that uses a state machine where the state machine can be persisted, can be  inspected/validated, and is transactional has this sort of thing naturally built-in.  WWF is one example of that.