How to save fragment state in fragment transaction

I have some difficulties when I wrap around android fragments. I have ActionBarwith Spinner, and I create a new one Fragmenteach time I click on the spinner element. I have something like the following code:

public class MyActivity extends Activity
{
   ...  
   ...
   private void initActionBarSpinner()
   {
      getActionBar().setNavigationMode(ActionBar.NAVIGATION_MODE_LIST);

      OnNavigationListener callback = new OnNavigationListener()
      {
          @Override
          public boolean onNavigationItemSelected(int itemPosition, long itemId)
          {
             if (itemPosition >= 0 && itemPosition < dataSet.size())
             {
                openTagFragment(itemPosition);
                return true;
             }

             return false;
          }
       };

       spinnerAdapter = new ArrayAdapter<String>(this, R.layout.action_bar_spinner, R.id.spinnertAdapterItem, tags);
       getActionBar().setListNavigationCallbacks(spinnerAdapter, callback);
   }

   @Override
   public void onCreate(Bundle savedInstanceState)
   {
      Log.d(TAG, TAG + " oncreate");

      super.onCreate(savedInstanceState);

      initActionBarSpinnerAdapter();
   }

   protected void openTagFragment(int itemPosition)
   {
      Log.d(TAG, "Replacing fragment");

      String fragmentTag = dataSet.get(itemPosition);
      MyFragment myFragment = new MyFragment();
      myFragment.setData(dataSet.get(itemPosition));
      FragmentTransaction fragmentTransaction = getFragmentManager().beginTransaction();
      fragmentTransaction.replace(R.id.fragmentContainer, myFragment, fragmentTag);
      fragmentTransaction.addToBackStack(null);
      fragmentTransaction.commit();
   }
}

The problem I am facing: when changing the orientation, a new fragment is created, which means that it again extracts the same data from the server. I see that it onSaveInstanceState()receives a call to an existing fragment when it is rotated, but if I am going to make a new one again on Fragment, when and how will I get a valid savedInstance package on the fragment onCreate()?