Not exactly your issue but the machine had an episode of a malware attack. It took a hour to discover the file system was "odd." I can't rewrite this too machine times but the PERMISSIONS for the SYSTEM ACCOUNT had been removed. Very strange, very annoying to fix.
This may or may not apply to your issue but there is that plus another instance where the XP version was a pirate version. for that one I had to do the Schultz.
In closing, you should investigate the file permissions and apply up to at least SP2.
When I shut down Xp get the usual saving windows settings; however when I turn it back on the next time, setting are not saved. Sometimes using ctl alt del to change users will restore the first time. Also have used log off and restart. Eventually the system will come up with personal settings. I have only one user profile. Have tried adding another one with the same settings and deleting the old. This does not seem to effect the problem. Also have tried turning guest on and off. I am running Xp with all the latest updates, AVG anti virus, zone alarm, and run CC cleaner and AWC regularly along with spybot and adaware.