I'm going to roll the dice here and place a bet that you're running Microsloth Windoze Vista. You might want to have a look at this sticky thread on the official WOW UI forum --
http://forums.worldofwarcraft.com/th...57867106&sid=1
Odds are you'll find the solution to the problem in there... it has to do with how Vista handles file update permissions. It's preventing WoW from being able to save the changed settings back to disk when you exit.