dirt,
I am having the same problem.  I downloaded the zsnesw program from Stuzza's site with the escape-exit option.  I am using Win98SE.  I am also puzzled as to why the button configuration is not saved, but it seems that alot of people dont have the same problem.  Wondering if it is a Win98 problem or otherwise.  I hope someone on the forum can have the answer, because I am not sure how to correct the problem.