Sounds like a permissions issue where the files cannot be written to.

Are you checking "Enable for Filtering" and/or "Enable for Outgoing SMTP blocking" before clicking save?

I had this problem recently too. For me it was a sign that the MailConfig.xml had corruption and was about to be truncated. I posted about this at: http://forums.smartertools.com/threads/421-442-and-554-smtp-errors-resolved.42695/#post-137561.

 

Although it could also be a READ-ONLY flag on the MailConfig.xml or incorrect Permissions that could cause the same problem. However, if neither of these cases apply, try stopping the Smartermail Service, restoring an earlier MailConfig.xml from backup, and restarting the Smartermail Service and see if the inability to save the Anti-Spam Settings in Smartermail goes away.

Did you remember to save the settings before navigating to a different page and back to the antispam settings again?

 

The save step is independent of clicking on the boxes and must be performed to complete the process.

The "Spam Check" tick box clears immediately when I click "Save Settings" - is this normal?