I must admit that I haven't seen this popup, on my system or the forums (possible I might have missed it though).
When you logon, are you using a limited user account ?
Unfortunately there is no means of backing up and restoration outside of the program as the settings are compiled into an .avastconfig file (see image extract of the compiled file contents).
Just tried it and no problems here, I also selected a folder other than that given by default.
Did you try to save it to a different folder location or the default My Documents/Documents and Settings, etc. etc.