EDIT: Real answer is in the post below this.


Are you running in Windows 7 (or Vista)? Did you install to Program Files (the default)? If the answer to both questions is yes, then there's a possibility that UAC is interfering with the game trying to write an options file when you change the options. Although I would expect it wouldn't be a problem until you quit out of the game and then came back. Still, you can try installing somewhere else (like C:\Games) and see if it fixes it.

Or, leave the game installed where it is but run it as administrator. That's less secure, though.

Anyone else have other ideas?