Jnes stores it's configuration data in the same directory as the executable in a file called Jnes.ini. I have not seen a situation where it was unable to do this. Although if Jnes is installed in Program Files, Windows redirects Jnes.ini to the VirtualStore in more recent versions of Windows unless you run it as an Administrator).
One easy way to figure out why this isn't working is to use Process Monitor from sysinternals, it will give you a log of all the file activity in the Jnes directory, this should help you troubleshoot what is wrong if you are technically savvy.
Alternatively, just run Jnes as an Administrator, that might help. Let me know if you find anything interesting.