The tools>options menu is the config.pro which is the area where the configuration options are changed. These are different from the window configuration options of config.win. The tools>options would be used for things like default view states, tolerance settings, iges export settings, and hundreds of other deeper ProE settings. The config.win will save things such as if you add the "set working directory" button to a toolbar, it will remember that addition and you will always have it when you start ProE. The config.win applies to the tools>customize screen menu...not the tools>options.
If you are adding buttons to a toolbar or arranging toolbars then go to tools>customize screen, make your additions/changes and then save it to the startup directory using the browse option under the pulldown menu next to the automatically save to checkbox at the bottom of the customize screen menu. Also be sure not to rename the config.win file either. When you browse to the startup directory you should see the default config.win...just save over that and it will work.
Hope that helps,
- J -