There are two possibilities.

First of all, perhaps Holiday Lights isn't quitting normally because your computer is crashing, or because you aren't turning it off using the "Shut Down" command. If this is the case, make sure you're using "Shut Down" to turn off the computer.

If this doesn't help, the "Holiday Lights Preferences" file (in the Preferences folder, inside the System Folder) may be somehow corrupted.

This is easy to fix: Open the System Folder, then open the Preferences folder, then move the file "Holiday Lights Preferences" to the trash. The next time you use Holiday Lights, it will create a new Preferences file automatically, and should remember any changes you make after that.