I'll recommend you start fresh with PCSX2.
I'll suggest some steps, and a way to set up...
Update your services
It is important that DirectX is fully updated. It may display that it's up-to-date, but what are typically non-essential files in standard cases may not be installed. These files are essential to PCSX2.
- Download and extract the DirectX June 2010 redist on your computer anywhere (you can delete what's extracted when finished). Run the DXSETUP.exe file among what you've extracted.
- Follow that by running the dxwebsetup.exe file for good measure. Your computer should now have all necessary DirectX files to run PCSX2.
It is also important to have Visual C++ updates.
Download PCSX2 revision(s)
I recommend you start with the latest stable revision,
PCSX2 0.9.8 (r4600). I will also recommend you choose to download the binary package, and not the installer package. If you choose to download and try
SVN revisions, they will come in the binary form anyway, so you may want to be familiar with it.
"Installing" the files
Extract it to a custom folder location of your creation (i.e. not in "Program Files", in "My Documents" or on the Desktop). I'll suggest a base folder for all PCSX2 revisions right on your "C:\" drive. For example, PCSX2 0.9.8 will be in it's own folder in "C:\PCSX2\", and other revision you install later could have their own folders there, too.
The point of all this is to keep PCSX2 independent ("portable") from your operating system, and free of any access restrictions (like when your settings won't save).