Also, one thing I failed to mention is that I purchased the game through Steam (http://store.steampowered.com/) and I am not sure where it put the ARMA2.CFG file.
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Your command line suggestion (lauching ARMA2 with command line switch in my shortcut) did create an ARMA2.CFG on my C:\ drive, however, ARMA2 still does not load my preferred settings. It still loads the video defaults even after I change them and click OK and exit the game.