These messages about BUG options files not being saved are caused by the Windows UAC feature. Staring with Vista they added this and made various other adjustments to security. What it does is, in effect, prevent most attempts to change files that exist under the
Program Files type folder(s). If you edit a file in there with Notepad, for example, it seems to save the file but the changes disappear. Programs trying to overwrite an existing file can't. Things like that.
There are multiple threads about this issue all over CFC. As far as I know there are essentially 4 things you can do about it:
1) Turn off UAC. Good for letting it change these files, but it does reduce the security level of the computer a bit since none of the files in this folder are protected anymore.
2) It should be possible to change the security settings of the folders and files. Apparently if you assign ownership of the
Final Frontier Plus folder, all sub folders, and all files in them to the user name you are using and then also assign full control of them to that user name then it might fix this problem. (Or you could just do it to the Mods folder and everything under it - with a little luck this might prevent the problem for other mods installed after the change is done since new folders could inherit the security settings of the Mods folder).
3) Run as Administrator. It is possible to cause BtS to run under the Administrator account, which is allowed to modify files in this location. It is not good enough to use an account that is a member of the Administrator group and has full administrator privileges - it has to actually be the account named Administrator. It is possible to set up a shortcut to have it run this way.
4) Reinstall the game someplace else that is not in the
Program Files (x86) folder.
Generally speaking, option 4 is probably the best. Once it is done it is done: no security setting has been changed, any other mods that use BUG that are installed in the future will work too, no messing with what account any program is run with, just the one-time pain of uninstalling and then reinstalling to a different folder.
If you want more details, you can hunt down one of the threads where this is discussed.
Here is a guide by kiwitt about Installing Civ 4, it mentions the UAC issue and lists what needs to be done to install the game in some other folder.
Oh, by the way, the .ini file is pointed to by a shortcut called "_Civ4Config" in the BtS folder - there is no ".ini" (or anything else) on the end of that and it has a Type of "Shortcut".