One possible reason for the columns that you choose not being saved is some registry keys and values that TweakUI might set.
If you have used TweakUI:
1. Make sure that REG.EXE, built into Windows XP and Windows Server 2003, or REG.EXE from the Windows 2000 Support Tools on the CD-ROM, is available on your computer.
2. Open a CMD.EXE window.
3. Type the following commands, pressing Enter after each line:
reg delete "HKCU\Software\Microsoft\Windows\ShellNoRoam\BagMRU" /F reg delete "HKCU\Software\Microsoft\Windows\ShellNoRoam\Bags" /FNOTE: See tip 5843 » How can I increase the number of folders that Windows XP remembers settings for?