Ok seriously... can't change the fricken controls! I want the sprint key to be SHIFT not ALT. I change it from the settings and it works... until I close the game and re-run it that is. How can I fix this?

Worked fine when I did that. Look for a file in the skyrim folder called ControlMap_Custom.txt. Try deleting it and setting your key again. Make sure it saves your changes, it should tell you.

http://www.gamesas.com/index.php?/topic/1261029-keybinding-issues-2-hotkeys-favorites-numpad-drop-item-take-book-spend-dragon-soul-etc/

They like to close threads around here.

Sorry it's a long threads, but there are keybinding issues, including conflicts between keys listed in the control menu and other keys not listed.

*Most* keybinding issues have workarounds on that thread. I haven't tried yours but I assume if you rebind everything else associated with shift you will be able to make shift sprint (by default it's "run").