1. right click mplayerc. Hit "Run as administrator".
2. Set all of your settings.
3. Close the app and reopen. Your settings are saved!
The issue is that mplayerc, keeping its settings in an ini, does not have permissions to alter that ini. When you close the ini it loses all it tried to write. From now on, run mplayer as administrator when you want to permanently alter a setting (or set it to always run as administrator under right click, properties, compatibility, always run as administrator, though then you'll get UAC warnings every time you run it).
It's because ini files are officially no longer supported, I suppose.