Whenever I quit out of the game and reload it all the config, from controls to graphics, is forgotten.
Is there any way I can fix this issue? Or is it something that the GOG team have to sort out?
I didn't have this problem with XP. Just Windows 7. So it's probably down to where the config files are being stored. But I don't know what to do about it.

Have you tried to install it somewhere other than the default 'Program Files' directory ?

It's installed to F:\Games\Painkiller
Which is pretty much where all my games were installed to under XP (same physical drive, different letter). All without any problems.

I do have PK from gog, but i still haven't installed it on 7, just on XP.
Are you running it as admin ?

As an account with admin privileges, yes (read: only account).

Well, what d'ya know? It only went and bloody worked, didn't it? Solution is you!
Does that mean I'm going to have to do that for most games or is there a universal 'run as admin' option somewhere? I'd have thought that being the admin would have been enough. But I'm not up on all these newfangled OS.

Most apps don't seem to have that problem from what I can tell. But I think I'll have to remember to do that with games.

If Windows 7 has the same setup as Vista for administrators then yes there is a way to always run as admin, but it requires a little tinkering.
Your standard setup is one user account which is an 'administrator' account. However, this isn't quite accurate. In Vista there is then a hidden 'true administrator' account. To get this carry out the following instructions:
Click on the Start button.
Click on Start Search.
Type cmd into the search field.
Right-click cmd, select 'Run as administrator' from the shortcut menu.
In the black 'DOS box', type the following at the command line:
Net user administrator /active:yes
Check the message : The command completed successfully.
Switch User, or logoff
From now on, the Administrator account will appear as an option on the Welcome screen, along with any user accounts you may have set up. Use it like any other account.
If you want to disable the account and hide it, enter this command at an elevated command prompt (but not whilst logged in using the administrator account itself) and press Enter:
Net user administrator /active:no
Bear in mind that these instructions are for Vista, but as Vista and Windows 7 are similar you may find that this works in Windows 7 too.