There's a trick to do it: go to advanced setup and change the map, for example. I usually choose "Continent Plus". Then, instead of clicking Continue, go back. You are again in the normal (not advanced) setup screen and the map you selected in the "advanced setup" remains!.
Start the game now from the normal setup. If you've selected "Continent Plus", for example, it's stored somehow and you don't have to change it for your next game.
This workaround works for me, at least for the basic options, like map type.