First thing I'd try is to dump the file that holds those toolbar
customizations. Maybe there's something wrong with it (corrupted???) and it
refuses to remember your last setting.
close excel
windows start button|find/search for *.xlb
rename them to *.xlbOLD
and try it normally again. If it worked ok, then dump those *.xlbOLD files
and recreate your toolbars at your leisure.
If it didn't help, rename them back to *.xlb and see if there's something else
that's causing the trouble.
Maybe there's a "helpful" macro that's disabling that option for you.
If you start excel in Safe mode (after you reset the toolbar), is that option
ok?
reset the toolbar
close excel
windows start button|run
excel /safe
If it's ok, you may want to start looking for that "helpful" program.
You can use some techniques that Chip Pearson shares on his web site:
http://www.cpearson.com/excel/StartupErrors.htm
Essentially, you're going to move stuff out of your XLStart folder and uncheck
everything under Tools|Addins. (But keep track!)
Then one by one, you'll add one back and restart excel to see if that caused the
problem.