Wouldn't surprise me if still caused by the same problem (UAC / readonly-files).
Apparently for bookmarks now solved. Bookmarks are saved by BS.Player in the file "bsplay.bkf". There are some other "save-files", like e.g. bsplist.bsl, bsplay.sav and bspml.xml and a few more.
However, most other (general) settings are saved in the file
BSplayer.xml.
Its whereabouts depend on what you selected at installation, but you can e.g. also find it by using Window's search feature.
Find it and check your access-rights/privileges.