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run PCSX2 as administrator and try again, sounds like it's not having permissions to save its settings.
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Make sure the folder isn't set to read only.
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It still sounds like righting permission...
Where have you installed pcsx2? Do you use the portable/SVN/GIT/binary version or the installer?
Is UAC (user access control) enabled in your system?
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And where have you put the GIT files?