When you say you tried everything, did you check out the suggestions in this article: How to fix preferences that won't save?

If you run the AVG security software, one of its features may clear your customizations. Please see this thread: How can I avoid firefox resetting my browser preferences when my antivirus software scans my computer.

I'm using total defense security.

God fucking damn it. I just went over to google chrome and it also doesn't save my fucking preferences.

What is going on?

Oh and internet explorer doesn't save preferences either.

Are changes lost immediately every time you close the browser, or on a schedule, e.g., overnight?

Are you running your web browsers in any kind of special security envelope or sandbox? When they are isolated from the system that way, browsers might not be able to make any persistent changes.

The "Use custom settings for history" choice allows to see the current history and cookie settings, but selecting this doesn't make any changes to history and cookie settings.
Firefox shows the "Use custom settings for history" selection as an indication that at least one of the history and cookie settings is not the default to make you aware that changes were made.
If all History settings are default then the custom settings are hidden and you see "Firefox will: (Never) Remember History".
"Never Remember History" means that Private Browsing is active and "Always use private browsing mode" gets a check mark.