There are two things you can try to do:
1) Make sure user.setting (or diplomacy.user if you're running the Diplo beta) is not set to read only (right click > properties). Then try changing the settings ingame again and see if they save.
2) Manually edit user.setting:
TextureQualityForShipColor 3
TextureQualityForShipData 3
TextureQualityForShipBump 3
TextureQualityForModuleColor 3
TextureQualityForModuleData 3
TextureQualityForModuleBump 3
TextureQualityForPlanetColor 3
These are for "Highest". To change them to "High" just change the values from 3 to 2 for each of these.
The user.setting file is located in the Setting folder in your user path (same as the mod path).