This is a recurring windows issue -reason not known in depth
Close lmms
Make sure nothing is running in the background in your 'task-manager'
If you do not know how to use TM, restart your pc.
In your
'Documents and Settings'
(or similar)
you have a file
.lmmsrc.xml
Observe the dot.
Use the search-tool, to find this file.
You cant rename this file, but you can move it
Move it to one of the folders you have there -like 'plugins'
Now restart lmms
You should be now asked to enter new settings, and these settings should be persistent.
If this fails, you can upload your .lmmsrc.xml, and i will look at it