OK, so I assume this applies to both the x86 and x64 version of Vista, but I have only tested the game on x64 so I can't say for sure.
Anyways, the issue is that I have to run the game as administrator in order for it to save any options. This only applies to options, profiles are saved even if game isn't run as admin. After the options are saved, I don't have to run it as admin any more, as they will be applied.