Certain settings not sticking on reboot

Very annoyingly, some settings keep being reset every time I restart.
I class these into 2 categories:

1) Definite errors: I set my wireless connection to use specified DNS
servers, which it does successfully, but on reboot, the connection's
set to auto DNS again. Also IE looses all the connection-proxy
settings, and reverts to a direct connection.

2)?by rubbish vista we don't want you to have control over your own
computer design? - I have one startup program that I'm asked if I want
to run each and every time I restart. There is a checkbox in the nag
window marked ask about this program every time, which I always
uncheck, but it still asks me every time.

Any suggestions?

Thanks