The name on the General tab is simply the name shown under the icon on the desktop. It means nothing to running mach, its just a name.
The Shortcut line called Target is the important one- it should be something like C:\Mach3\Mach3.exe /p Mach3Mill
The first part is the name of the program to run, its always C:\Mach3\Mach3.exe Dont try to change this.
The last part /p Mach3Mill is the name of the profile this icon will use to startup. It must be the same as your xml file, so if it says Mach3Mill then mach will try to open Mach3Mill.xml for the profile data. If it does not find a file by that name then it creates a new .xml file by whatever name you called the profile.
Find your profile file, probably Mach3Mill.xml. Right click and look at properties. Near the bottom of the general tab there are a couple boxes for READ ONLY. If this is checked your xml cannot be altered, hence Mach cannot save your settings.
It is highly recommended that you create your own profile and icon- in my case I have the icon named JetMill and my profile is JetMill.xml That way a new install of Mach will never alter any of my settings.
This is all very well covered, with illustrations in the new Install doc. see http://www.machsupport.com/docs/Mach3Mill_Install_Config.pdf