I like to just listen to music while I play, instead of the game sounds, and also I like to set the game to its brightest, but the game does not remember the settings, and so every time I load it I have to change them again. Is it supposed to do that? :P

Not sure about brightness setting. I would definately check the fallout config file and set desire level it should work permanently.
And about sounds... well.. you just switch off all sounds to zero and use your player, i dont see any problems. Good luck.

I assume you're using Windows Vista/7? If so, run it as administrator, those OSs need that in some old games to make changes to config files.