Just an IMHO, but do you have any free space in your memory card? And do you slot the card into the machine, or keep it slotted into the machine, before starting it up?
The PS 2 saves all changes to a block of data in the memory card. If you either don't have any space in the memory card to store this data-block, or you simply haven't plugged the memory card into the slot, the machine reverts to default mode whenever you boot up.
Anything other than that, and it's probably the PS 2 that's broken.
Hope this helps
