This happens because you're running the software without Administrator access and because of that the software doesn't have the necessary rights to save the files and settings so the next time you open it to have it configured the way you want it.
To avoid these issues in the future, simply right click the shortcut and choose Run as Administrator. Or even better, right click the shortcut and go to Properties > Compatibility. From there, tick the Run as Administrator and the settings will be saved automatically.