You will need to edit the registry to retain this setting. I have found many postings that mention this very problem and microsoft have released a script although many people said it did not help.
Open the ‘Run’ command and type ‘regedit’
(It is wise to back up the registry before changing values)
Now click on my computer at the top to make sure searching begins at the top.
Click on edit – Find and enter ‘InitialKeyboardIndicators’ as the search string and then find.
Whenever a key is found with that name, change the value from ‘0’ to ‘2’. I have read that there might be more than one entry and this seems to be what is causing the problems.