Usually, if game settings aren't being saved between sessions then it is Windows UAC/DEP to blame. If you've installed into Program Files (x86) and you are Vista, 7 or 8 then I would say that this is the case here. To solve this, either run the game as administrator every time you play it, or (and I prefer this instead) install outside of Program Files, such as C:\Games\... to avoid the DEP issues. It is also advised to run the installer as administrator.