We report on the first demonstration, to the best of our knowledge, of the locking of a Fabry-Perot cavity with a finesse of 28,000 in the pulsed regime. The system is based on a stable picosecond oscillator, an ultrastable cavity with high-reflection mirrors, and an all-numerical feedback system that allows efficient and independent control of the repetition rate and the pulse to pulse carrier-to-envelop phase drift (CEP). We show that the carrier to envelop phase can have a dramatic effect even for pulses with hundreds of cycles. Moreover, we have succeeded in unambiguously measuring the CEP of a 2 ps pulse train. Finally, we discuss the potential of our findings to reach the MW average power level stored in an external cavity enhancement architecture.