This can occur if your FlashFXP installation isn't correctly configured, this is especially true if you're doing an upgrade installation on windows vista because previous versions are not vista compatible and their installation is not compatible.
When using windows Vista a full installation is the best solution rather than an upgrade install.
When reinstalling FlashFXP its always a good idea to backup all of your FlashFXP data first.
I´m having the same problem. Clean Vista Business installation and clean FlashFXP-installation.
No settings is saved. I tried to reinstall the program, but the problem remains.