So you know when you launch the game the second menu pops up letting you access the settings. Well I can't seem to change mine. I will try changing things like aspect ratio, resolution clicking OK and then say exiting the menu and relaunching it and everything will be reset to what the launcher decided for me at the start. I'm having those cinematic black bars on the top and the bottom of my screen when I play which are making my eyes hurt while looking just at the middle and no matter what I do I can't change the resolutions when launching.

I have ABSOLUTELY same issue as yours. It have been buging be since fallout 3! Everything is fine in windows xp, but on my windows 7 32bit - settings never save! Nothing including launching in compability mode or with administrator rights helped.

The only solution (temporary) that I've found that works is to start FO:NV using only the desktop shortcut.

Not any of the Steam UI options, nor using the 'Run' prompt to start the .EXE files.

I have no real idea why, but using this method actually preserves the changes to the 'Fallout_prefs.ini' file, rather than over-writing it with one of the default .ini's.

Odd, and kind of annoying, but it works. Still, keep backups of both the ini's. as well as your save folders.

While we are at it, can you please link to some tutorial on how to change the settings manually in the ini itself? I can only do resolution atm (search for iSize in the falloutperfs.ini)
FIXED IT WITH REMOVING THE "READ ONLY ATTRIBUTE" FROM FILES IN My Games/fallout 3 folder!