I´m now using Pd version 0.40.3-extended under Windows XP:
Before that I was using Pd-0.39.3-extended and to store any kind of adjustments like smaller latency, soundcard and midi controller I just had to: Go to “File/Startup…” and hit [Save all settings] after changing the latency.

How could I do that now with the newer version?

Anyways the newer version looks really better than the older one :-) Thanks for that.