First off, make sure Nestopia is not running. Find your nestopia install directory and right click nestopia.xml and select properties. Make sure that the read-only box is unchecked, so that your can write to the file. THEN do the following:
"Nestopia re-writes the xml file as it exits, so, if you make changes to Nestopia's configuration and then set the xml file's read-only attribute while Nestopia is still running your changes will not be saved.
Make your changes to Nestopia,
Exit Nestopia,
Set read-only attribute on xml file."
After you setup your controllers and exit Nestopia, change the .xml file back to read-only in the properties, and it will stay.