Do you notice other settings "not sticking"? Are you sure the last window you close has them removed?
Backup the registry and/or export the following keys:
go to Start>Run, type regedit. Navigate to:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
if you see an entry named NoSaveSettings with a value of 1, right-click on it, choose modify and type in the number 0.
reghakr