After reading the forum posts, this seems to be happening on Windows 7 exclusively. Whenever I see behavior like this, launch settings not being remembered, I suggest this advice:
1. Right-click on the desktop shortcut and choose Run as Administrator.
2. Confirm your country again.
3. Close and relaunch (not Running as Administrator).
Sometimes settings are not saved in files or the registry properly due to an overbearing system. This may help get around any disk permission issues causing such behavior. If this doesn't work, I would suggest disabling any security software temporarily, so you can launch without interference, and have those settings saved.