Did you Import your Favorites from another machine?
The above notwithstanding...
One or more options/settings in an ever-growing number of third-party
applications may be disallowing the change(s) from "sticking" (i.e.,
Favorites revert to Sort by Name after rebooting). These include but are not
limited to Ad-aware Pro's Ad-Watch, Spybot Tea Timer, SpywareBlaster,
SpySweeper, Spyware Doctor, CounterSpy, AVG Anti-Spyware, Norton AntiVirus,
McAfee VirusScan and/or Antispyware, NOD32, and Zone Alarm (Free, Pro, &
Security Suite).
Favorites "sort order" is controlled by the DWord value "Order" of the
key...
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\MenuOrder\Favorites
....and subkeys thereof.
