Are you using a invaild cd-key? Everytime you load up Quake IV, it connects to some server and authenticates the key, if it fails, then it asks you to enter it in again. So to get around that, don't play with a internet connection.
Now if you have a retail key and its still asking, then maybe Quake IV is having problems writing the config. Are you graphics setting and such the same or are they reset also?