see if this works :
run regedit
go to HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
change NoSaveSettings to 00 00 00 00.
Restart your computer, put the icons in the order that you want them to be in, then restart again
if there is no nosavesettings in your registry :
start and new text file in some text editor (e.g. notepad)
and paste the following text:
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]
"NoSaveSettings"=hex:00,00,00,00
Save this file as NoSaveSettings.reg, navigate to the file and double-click on it. This will update your registry with the correct value.
Logout and login again, and you should see the effect.
check here *www.annoyances.org/exec/forum/win98/t1009758382