@ Gopher John: thanks for pointing that out. As I wrote in my previous post I'm on Seven, and oc running my system on an admin account (yeah, another topic), but I got something that you don't have in XP: UAC (user account countrol Vista/Seven) that prompts off and on, depending on what you request on the system, for admin privilege confirmation. And that's exactly the issue there, not even a prompt but UAC is blocking it.
So, I deactivated it, rebooted, changed the proxy setting again, and now it's retained
