Problem solved
I think, however, that you may have to fix something, unless -of course- this happens only to me. Let me explain:
- Exiting the program saves the settings, rebooting does not
- When I saved my settings by exiting the program and then reopened it, restarting the computer kept the settings
- Before doing this I was always presented with the initial "setup-the-program" window
FWIW: WinXP/SP1, no restrictions