Changes made while configuring aren't saved

[JudgementXD]

I've recently downloaded PCSX2 and I've managed to get the program working. Only problem is that for some reason when I'm done configuring the program any changes I've made aren't saved. The result is that I'm forced to play the game that I load from my DVD drive in a window, at 4:3 and I can't use my X-Box 360 controller (even though I seem to have understood that it can be used). The game loads correctly so I suppose that my bios are fine and I doubt that my computer's specs are to blame, but just in case here they are:

Windows Vista Home Premium (64 bit)
Intel Core 2 Quad @ 2Ghz
Ram 4Gb
Nvidia Geforce 9600M GT

Hope you guys can post a solution soon since I'd really like to play. Thanks in advance!

P.S. Congratulations to the dev. team that worked on PCSX2!

[coder_fx]

try running it in admin mode