Yes, the settings should be saved between sessions. If you are using XP SP2, I would suggest that you uninstall all of the belkin software for the USB adapter. Then boot the PC, plug in the adapter, let Windows find new hardware, insert the CD but *DON"T* run it (if it starts 'exit' from it), follow the hardware installation wizard and select the option to install from a specific location. "Browse" to the Drivers folder on the CD.
Once installed, use Windows' wireless networking software to manage it. In the Network Connections folder, right click the Wireless Network Connection and select "View Available Wireless Networks". highlight your router's SSID and click "Connect". You will be prompted to enter any WEP/WPA key.
Only if you click the "Disconnect" button, will you have to manually connect and enter the key again. Otherwise, connecting to your wireless network should be automatic.