I guess you installed PSPad as portable or unpack portable version into Program files. PSpad has no right to write there, so there is no possibility to save configuration.
Run PSpad as administrator (using right mouse button), go to program settings / System and check Multiuser environment. Restart PSpad. -- <http://forum.pspad.com/read.php?4,63960,63961> PSPad freeware editor http://www.pspad.com
