That's not a KeyWiz Max problem. The KeyWiz uses SDRAM rather than EEPROM, and so does not save it's settings on power-down. You don't have to run the KeyWiz Program manually, though.
I don't have the software in front of me as I always use the default settings (or program it from a batch file), but try this:
Open Windows Explorer (File Manager, etc.), and navigate to C:\KeyWiz. Right Click on KeyWiz Uploader.exe and select Create Shortcut. A new (small) file will appear named "Shortcut to KeyWiz Uploader.exe". Right click on this and select Properties. On the Target line, type the following (with the quotes, I think): "c:\keywiz\keywiz_uploader.exe /A". If this works, when you double click the shortcut, the KeyWiz software will load the codeset that was last in use.
Now drag this shortcut to the taskbar "Start - Programs - Startup" group so that the shortcut will launch automatically on startup.
Alternate method - Find C:\Autoexec.bat, right-click and select EDIT. At the begininng of the file, enter a new line and type "c:\keywiz\keywiz_uploader.exe /A" (without the quotes). Save the file.
Either way, your KeyWiz should now start with the same codeset it was using when you powered down the PC.
If this doesn't work, post back with what you tried and what is happening, as I might have missed some steps, (but I don't think so).