Some security and utility programs now watch for changes to your browser settings and undo them. For your protection, of course, but they don't know what you changed on purpose and what was done behind your back.

This feature may be called "Surfing Protection" (Advanced SystemCare), Home page protection, Browser Protection, etc. If you have such a feature, disable it at least temporarily so you can make changes you want to make.

Does that seem to be the issue?

I should also mention this article, in case my first guess doesn't pan out: How to fix preferences that won't save.

This could also be caused by an add-on or unknown mal-ware on your system.