No problem here whatsoever! Using Win-Me. Will check on my son's PC which runs XP.
Would be interesting to know which Win-versions you all are using.
Unfortunately no-one thought of mentioning it.
It seems to me as if its a Windows access-rights problem.
Could you also check in BSPlayer's installation folder the properties of the file BSPlayer.xml (which should NOT be "read-only"). It is in that file that BSPlayer stores its various settings (such as i.a. skin used).