I Think you need to create a partition and a profile. Zeroshell works on a LiveCD, That mean it will never save any configuration except if create a partition and a profile on a hard drive disk.
You have to click on “Setup” and “Profiles” to create a Partition. After creating a partition you avec to Create a profile by selecting your partition and click on “Create profile”.
Finally you need to activate this profile by selecting your profile and cliking on “Activate”. Be carefull, profile activation will reboot your system but your configuration will be save and will be still here after rebooting.
I make a howto on my french Website if you need to : http://www.neoflow.fr/tutoriels.item.222/sauvegarder-sa-configuration-zeroshell.html
Just follow Title and Screen if you don’t understand french 🙂