there are some suggestions in this thread:
http://shoutbox.menthix.net/showthread.php?tid=47930&pid=500375
try them out...
also, here:
http://forum.mess.be/lofiversion/index.php/t8513.html
two suggestions that seemed to have worked in these threads are that.. you need to sign out/log out of msn before exiting it. otherwise it won't save the changes
Edit:both of these threads are directed towards an earlier version of msn... but perhaps they will help you anyway
another thing... does this happen with your other accounts too? or just this one?
/ 
gif 
