How to save project options

I opened up the Project Options dialog box from Project->Options, and
switched to the Directories/Conditionals. I did some changes to the
Include Path. When I closed the Project Options dialog box and opened
it again, the Include Path is restored back to its original settings.
Why didn't the changes take effect?

Also, why are some paths automatically included in the include path.
For example, I have D:\Borland\Borland Shared\Images\Icon ins the
include path. I did use an icon from this directory, but I don't
understand why the IDE include this directory in the include path.

Thanks.

Yong Sing