When you Scan for your network and you connect to it and then you hit the Save button, look up in the top right corner of the window if you see any in red saying something like 13 unsaved changes or whatever it says, click on it and then on that page click on save and apply button.
Also, your HM will show a IP address on its LCD screen once it connects to your router, if you do not see that, then you are not connected. If you look at the Wifi Adapter , it will blink very rapidly for a second and then repeat, when its connected.
What is the brand of SD card you are using? Some cards seem to have more issues then others. Whats good theough that the cheap 4g Sandisk SD cards seem to work great, while the better quality sandisak I have tried have had problems with saving the settings