If you are running AVG antivirus, it stops the complete install of the software on your PC. I disabled AVG for 10 minutes,reinstalled (repaired) the software installation by running the install again and I was able to save my location finally.
I tried that on my computer with XP and it did not work. So I decided to install it on my other computer with Vista and it worked, or so I thought. It remembered the location but would not go and get the latest weather update. So I turned it off and tried again to start it up and it had forgotten the location; I tried reinstalling after that but it never would connect or remember any location. Of course, I had AVG disabled all this time.