Today I came across a problem where the users explorer settings were not being saved on reboot. Settings like Screen resolution, monitor setup, and icon placement. I first made sure he wasn't using a temporary profile. Then I deleted the following registry keys:
HKCU_ software\microsoft\windows\shellnoroam\bagmru
And
HKCU _software\microsoft\windows\shellnoroam\bags
That will force windows to recreate them and should fix any corruption that would have been causing this problem. It would be smart to make sure that the local user has read/write access to those registry keys, but you will find that out when you try to delete the keys :)
Source:
http://www.techsupportforum.com/microsoft-support/windows-xp-support/10283-windows-explorer-settings-not-being-saved.html