Windows XP annoying “hiding tray icons” settings reset

Hi,
I’m using highly costumized WinXP Pro for a lot of years, but still i cannot figure out one think. How to get to work the “Costumize hiding tray icon feature” (right click on taskbar->properties->costumize..). If I set some tray icon to “show always”, then shut down the applications associated to this icon and then restart Windows, the hiding settings of this app is set to default – “hide when inactive”. How to keep these settings?