I got similar problem with Bloodrayne 1, but there only sound settings were not saving. It didn't bother me so much and i ran through the game quite fast. But in Bloodrayne 2 camera settings also reset, for some reason and this is quite annoying. Already tried to run the game "as admin", didn't work.
I'm running Win7x64 and AMD HD5770 videocard.

Did you install the game into a protected (locked) folder?

No, the same folder as for other games.

Which is? I am asking because yours appears as a write-permission issue to me.
Consider that different games act differently: some store their configuration files in their own folder, while others put them in a completely different path.