Well,since nobody has responded . . . =)
It sounds like PK is being blocked from writing the change to disk. If you are using Vista or Win 7. . . I would make sure, in the game shortcut, on the Compatibility tab, that you have the "Run this program as an administrator" checked marked. If not, close PK,check mark the option, restart PK and try to make the change.
Also, your firewall, Antivirus or Windows UAC may be blocking the change, Alt-tab out of PK after making the change and see if the firewall is throwing up any "Allow this change?" dialogs behind the game screen.
An easy way to check if it's the firewall or Anti-virus blocking the write is to disconnect from the internet, shut down both the firewall and AV programs, start PK, make the change. If it accepts the change,revert back to the default setting, start either the AV or the firewall alone, make the change again. Do this for both programs until you see which is blocking the write.
To turn off UAC, click Start, Control Panel, User Accounts, click "Turn User Account Control on or off" and uncheck "Use UAC to help protect your computer". Try to make the keyborad change with UAC off, if it takes the change, UAC is your blocker, if not, turn UAC back on.
If, when doing the install, on Vista or Win 7, you did not right click the setup.exe and click on "Run as administrator" . . . the game might not have installed fully since Vista/Win 7 will often block setup writes if you just double-click on the setup.exe. If you didn't run the setup as an administrator, you might backup your save files, uninstall and reinstall as an administrator to fix the write problem. Hope this helps . . .=)
Edit: Some ppl with Vista / Windows 7 have eliminated the write problem by installing games in directories outside of the Program Files directory in order to keep UAC on and still run the game. UAC is very active concerning what goes on it the Program Files directory.

Just if someone else encountered that problem like I did, there is a simple way.
It seems the game doesn't recognize azerty keyboards.
So just bind it like it.
In that case, if you want to move forward with z on an azerty, bind to w. Because for the game pressing w = pressing z for you (it doesn't recognize azerty)
I discovered that when I first bought the game (one of my cd is not working so I rebought it here...) and this is the same thing for a/q (bind to q if you want to use it for a) and , for m, etc...

Hi,
Does anyone know if it is possible to bind/assign a Turn Left and Turn Right key as well as a Look Up and Look Down key while playing Painkiller Black?

The reason I ask is that sometimes I would like to play on the laptop and I find it really arkward using the touchpad to turn left and right while using the keyboard to move forward and back. The Options menu lets you assign keys for straffing and moving forwards/backwards, but appears to assume the mouse will be used for turning.

Many Thanks.

if someone have still this problem :

~ First method :

1)
- i've install the game (everything by default : emplacement ,etc ...)
- right clic on the shortcut of the game ,properties ,go to tab "compatibility" ,at the end of the window check "execute this program as an administrator"
why do this? because now every change in the game ,like settings will be saved

2)
- in the settings change like this :
up : w
down : s
left : a
right : d

~ Second method :

1)
- install the game somewhere where Windows does not block changes ... like C:\GOG Games

2)
- doing the same thing as in the previous step # 2