It's most likely your documents file, if it's not saving , delete the whole thing and try.
Or maybe your pc doesnt give enough perms for your game to save these files
Go check files at My Computer at disk C usually there's a copy of folders that are at My documents which happent to me too , it used not to save my settings and try to delete the folder at my computer or try reinstalling the whole game but make sure you delete everything which is releated to GTA.
go to the gta folder >right click on vorbis.dll >click properties >then go to security > then click edit >and then there should pop up something about giving this file permission.
click at Users and then uncheck all boxes, this gotta work