I had the very same problem. For me the reason was that I copied/installed the TexMaker binaries (from a 5.02 USB version of TexMaker) into my "Programs" folder. This folder is write protected by the Windows OS. The INI-file settings will get stored next to the binaries of TexMaker. So, they can not be written without raising the UAC rights of TexMaker.
Solution for me:
- Go to the "texmaker.exe" binary somewhere in the "Programs" folder, right click it in the Explorer and choose "Run as administrator".
- Apply some settings and save them. Now those settings will get written.
Please note that those lower UAC rights also apply in cases, where you start some TEX-files directly from the Explorer after setting the "standard TEX-file linked application".
I do not know if this a special issue of the USB version of texmaker or a general one.