I'm running Vista like some of the other people here. I agree, UEStudio is having problems with the MS's new OS.
I'm using UEStudio to run GCC, and I was having problems running the "DOS Command" features. Yes, I also had this problem of the settings not sticking every restart of UEStudio. It's a frustration I share with the other Vista users that I almost installed XP for dual-boot.
Fortunately, I've found a way to make some of the features work correctly, like they did in XP. Here's the fix:
1. Browse to the directory where you installed UEStudio32.exe (mine was C:\Program Files\IDM Computer Solutions\UEStudio '06)
2. Right-click on uestudio.exe
3. Under the Compatibility tab, check "Run this program in compatibility mode for:"). Select "Windows XP (Service Pack 2)". Click Ok.
4. Do the same procedure (Steps 2 and 3) for uedos32.exe.
5. Re-run UEStudio32.
Hope it works!