I'm not entirely sure about his, but I wonder if perhaps the presence of the following Registry entry may apply to your situation:

http://www.winguides.com/registry/display.php/950/

By default Windows creates one multi-threaded Explorer process which contains the Desktop, Taskbar and all other explorer instances. If one of these instances fails, all instances will fail. When enabled, this setting causes Windows to create separate processes insulating them from other failures.

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer

(DWORD Value) "DesktopProcess" = Zero to Disable separate processes,  1 to Enable.

Thanks for that, Explorer does not run on startup now.
Do you know what is stopping NoSaveSettings from working?

I'm afraid I don't know the answer to that without poring through your registry and system files.

I have just posted a whole list of Registry restrictions in another question.  I saved these from winguides.com for future reference.  It might take you a while, but maybe you could inspect the relevant ones and see if perhaps something is taking precedence over the NoSaveSettings.

I suggest that maybe you just restrict this to one entry in:

[HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]

Perhaps the other entry directly under "Explorer" is cancelling it out.

You definitely have it as a DWORD Value "NoSaveSettings", don't you?

Sorry if there are a lot of non-applicable Registry tweaks pasted below, I haven't had time to edit them out:

ALL Applicable to Win98
************************

-------------------------------------------

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]
and/or
[HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]

DWORD Value "NoPrinters"=1 - disables access to the Printers icon in control panel

-------------------------------------------

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Network]
and/or
[HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\Network]

DWORD Value "NoNetSetup"=1 - disables access to the Network Control Panel icon
DWORD Value "NoNetSetupSecurityPage"=1 - removes access to the Access Control Page
DWORD Value "NoNetSetupIDPage"=1 - disables access to the Network ID page
DWORD Value "NoFileSharingControl"=1 - stop users disabling/creating file/printer shares
DWORD Value "DisablePwdCaching"=1 - Don't cache copy of users password on system
DWORD Value "NoEntireNetwork"=1 - users are confined to their own Workgroup or Domain
DWORD Value "NoFileSharing"=1 - disable File Sharing service
DWORD Value "NoPrintSharing"=1 - disable Printer Sharing service
DWORD Value "NoDialIn"=1 - don't allow callers to connect to the internal network

-------------------------------------------

[HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Winlogon]

Create new string value "Default Password" and set it to match password of the default user.
Username of default user found at [HKEY_LOCAL_MACHINE\Network\Logon\Username].
 
-------------------------------------------

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\System]
and/or
[HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\System]

DWORD Value "NoDispCPL"=1 - disables the display settings control panel icon
DWORD Value "NoFileSysPage"=1 - hides "File System" from System icon in Control Panel
DWORD Value "NoDevMgrPage"=1 - hides Device Manager from Control Panel > System
DWORD Value "NoConfigPage"=1 - hides Hardware Profiles from Control Panel > System
DWORD Value "NoVirtMemPage"=1 - hides Virtual Memory from Control Panel > System
DWORD Value "NoDispSettingsPage"=1 - hides Settings from the display properties control
DWORD Value "NoDispScrSavPage"=1 - hides screen saver page from display settings control
DWORD Value "NoDispBackgroundPage"=1 - stop users changing background display settings
DWORD Value "NoDispAppearancePage"=1 - hides the display settings appearance page
DWORD Value "NoSecCPL"=1 - disables access to the Passwords icon on the Control Panel
DWORD Value "NoProfilePage"=1 - disable access to user profile page
DWORD Value "NoAdminPage"=1 - stop users from changing remote administration settings
DWORD Value "NoPwdPage"=1 - restrict access to Change Passwords page
DWORD Value "DisableRegistryTools"=1 - Disable Regedit ***
            If you have inadvertently locked yourself out of your registry
            you can use the following file to unlock it:
            http://www.winguides.com/downloads/unlock.reg

-------------------------------------------

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop]
 
DWORD Value "NoChangingWallpaper"=1 - disable ability to change wallpaper
DWORD Value "NoComponents"=1 - Disable components
DWORD Value "NoAddingComponents"=1 - Disable ability to add components
DWORD Value "NoDeletingComponents"=1 - Disable ability to delete components
DWORD Value "NoEditingComponents"=1 - Disable ability to edit components
DWORD Value "NoCloseDragDropBands"=1 -
DWORD Value "NoMovingBands"=1 - restrict adjustments to desktop toolbars
DWORD Value "NoHTMLWallPaper"=1 - only allow bitmaps (BMP) as wallpaper

-------------------------------------------

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]
and/or
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]

DWORD Value "NoClose"=1 - stop users from being able to shutdown the computer
DWORD Value "NoWindowsUpdate"=1 - restrict access to Windows Update
DWORD Value "NoWinKeys"=1 - disables the use of Windows hotkeys
DWORD Value "NoDesktop"=1 - hides all the items and programs on the Windows desktop
DWORD Value "NoControlPanel"=1 - hide the Control Panel options from the Start Menu
DWORD Value "NoDeletePrinter"=1 - disables ability to delete printer
DWORD Value "NoAddPrinter"=1 - disables ability to add printer
DWORD Value "NoPrinterTabs"=1 - hides printer details and general printer info pages
DWORD Value "NoSetActiveDesktop"=1 - remove Active Desktop from Settings on Start Menu
DWORD Value "NoActiveDesktop"=1 - disable the use of the Active Desktop feature
DWORD Value "NoToolbarCustomize"=1 - disable right-click > customize toolbars
DWORD Value "NoBandCustomize"=1 - restrict option to disable toolbars selectively
DWORD Value "NoFileMenu"=1 - Remove the File option from the Explorer toolbar
DWORD Value "NoNetHood"=1 - hide Network Neighborhood icon from desktop
DWORD Value "NoFolderOptions"=1 - hide Folder Options from the Tools menu
DWORD Value "NoLogOff"=1 - remove Log Off [Username] option from Start menu
DWORD Value "NoCommonGroups"=1 - hides the "common groups" from start menu
DWORD Value "NoSetFolders"=1 - Removes Control Panel & Printers from the Settings menu
                               (causes the Settings menu to be removed completely)
DWORD Value "NoRun"=1 - Removes "Start > Run" option from Start menu
DWORD Value "NoFind"=1 - removes the Search feature from the Start Menu
DWORD Value "NoRecentDocsHistory"=1 - Disables "Recent" items history from Start Menu
DWORD Value "NoRecentDocsMenu"=1 - Removes "Recent" items from Start Menu
DWORD Value "NoFavoritesMenu"=1 - Removes "Favorites" item from Start menu
DWORD Value "NoTrayContextMenu"=1 - No right-click taskbar, syst tray, Start button,
                                    Tab control, and Clock

DWORD Value "NoDriveAutoRun"= see below:

Value is 32 bits. The lower 26 bits each represent a drive, with the lowest (right-most) bit representing drive A and the 26th bit from the right representing drive Z.
If a bit is set to 0, the autorun feature is enabled on that drive. If a bit is set to 1, the autorun feature is disabled on that drive.
eg. 0x8 (1000 binary), autorun is disabled on drive D.
Note that a value of 1 in the bit representing the CD-ROM drive takes precedence over the value of Autorun.

DWORD Value "NoDrives"=  see below:

Uses a 32-bit word to define local and network drive visibility for each logical drive in the computer. The lower 26 bits of the 32-bit word correspond to drive letters A through Z. Drives are visible when set to 0 and hidden when set to 1.
If your not happy working in Hex, add these decimal numbers to hide the drive(s):
A: 1, B: 2, C: 4, D: 8, E: 16, F: 32, G: 64, H: 128, I: 256, J: 512, K: 1024, L: 2048, M: 4096, N: 8192, O: 16384, P: 32768, Q: 65536, R: 131072, S: 262144, T: 524288, U: 1048576, V: 2097152, W: 4194304, X: 8388608, Y: 16777216, Z: 33554432, ALL: 67108863
For example to hide drive A and drive D, you would add 1 (A) + 8 (D) which equals "9".
Note: These drives will still appear in File Manager, to remove File Manager, delete or rename winfile.exe.

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion \Policies\Explorer\RestrictRun]
Add new sub-key "RestrictRun" and define the applications that are allowed. Creating a new string value for each application, named as consecutive numbers, and setting the value to the filename to be allowed (e.g. "regedit.exe").

-------------------------------------------

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Advanced]

DWORD Value "ShowSuperHidden"=0 - hide System Files from Explorer

-------------------------------------------

[HKEY_CLASSES_ROOT\]

[HKEY_CLASSES_ROOT\CLSID\{-D969A300-E7FF-11d0-A93B-00A0C90F2719}]
adding the "-" at the start disables use the New menu item
DWORD Value "NoViewContextMenu"=1 - No Right-Click in Desktop or Explorer

[HKEY_CLASSES_ROOT\CLSID\{-5b4dae26-b807-11d0-9815-00c04fd91972}]
adding the "-" at the start disables menu bar in Windows app's and Start Button

[HKEY_CLASSES_ROOT\Directory\shell.old]
Rename "shell" sub-key to disable Right-Click > Open/Explore/Find from Start Button

[HKEY_CLASSES_ROOT\Folder\shell.old]
Same as above to apply restrictions fully

-------------------------------------------

[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\NonEnum]

DWORD Value {20D04FE0-3AEA-1069-A2D8-08002B30309D}=1 - remove My Computer from desktop/StartMenu

-------------------------------------------

Thanks for all that BillDL,
I'll get back to you when I've gone through it all. It could take a while!

Yes it is a DWord (blue symbol) not String (red symbol), then 'Modify' to set it to '1'.

But I did find with the DesktopProcess that changing it from '1' to '0' did not switch it off. I had to delete the DWord for it to work.

[ I have another (Reg related?) problem I'll post a new question, praps you might have a try at it too. ]