Did a security suite, like Norton or McAfee, install any Firefox extensions?
If so, try disabling that extension and see if that Firefox preference stays check-marked.

No security suite installed. And I already tried disabling all the extensions but still, no luck.

Actually, I started to experienced this problem from version 3.5.xx (i can't remember exactly), I just don't post the problem here on anywhere. But now, I really miss that function :(

Hope you can help me.

Thanks.

Try a new Profile.
http://kb.mozillazine.org/Creating_a_new_Firefox_profile_on_Windows

See:

• http://kb.mozillazine.org/Preferences_not_saved

I tried both suggestions but still, no luck.

Thanks anyways.