Hi what Version you using by which i mean 64bit or 32bit & what Operating System Vista or W7 ? im guessing as you said about running as admin.
To tell the truth it might be easier to just re-download & uninstall / reinstall pain in the neck but will most likely resolve you issue.
I will attach a TS3 quick start guide which might be of some help (
just download it is a PDF file)
P.S: if still having issues might be worth checking the TS3 Forum to see if anyone else has had an issue of this nature (but settings not be saved sounds like a corrupt install or download to me)
TeamSpeak 3 forums 
& if no joy their give it a
