I had the same issue, The problem does indeed lie within avg. in order to make this setting continue to work, all i did was enable the"avg security toolbar" inside internet explore 9, then i set my setting for when tab is opened to first home page,
then all my setting saved and continued to work even if i close or restart the pc.
.....After this successfully works, you can disable the avg toolbar, and the setting will continue to work. I dont know why this works ,Its really wierd.... Hope this helped!!