Bug in setting GUI to SDI mode?

Hi

I did a google search on this and came up with nothing.

OK, in the latest release of R for windows, I want to change the gui to
SDI mode.  

Edit -> GUI preferences
Choose SDI
Apply

I get the message about properties not being able to be changed on a
running console, and that I need to save.

So I click Save, and am met with a "Save As" dialogue box with the
default file called Rconsole, the file type as "All files".  I have no
idea where I actually have to save this.

I saved it in C:\Program File\R\2.2.1 anyway, restarted the console, and
SDI mode was not set.

I realiuse I can use the --sdi option on the command line, but I want to
know how to make this work through the GUI

Any help?

Thanks
Mick