windows with rr still running, windows end-task all processes abruptly and don't give time for RR nor Winamp to save settings properly. If you close RR first (which will also close winamp) then shutdown windows, when you boot again, RR will start exactly where it left-off. There is a plug-in for winamp that's supposed to help but i don't remember the name of it. I just choose to live with it.
I don't use the installer so i don't know what it does - can't help there.