View changes should stick automatically. Are you trying to make changes from a library server client?
EDIT: Sorting changes can be overridden a number of ways...
1. Check to make sure Tools -> Options -> Tree & View -> Sorting -> Save changes on list header clicks is enabled. With this option disabled, list header clicks will change sorting only until you leave and re-open the view. Enable it to allow clicking on the headers to make permanent sorting changes.
2. Make sure you aren't trying to modify a view from a Library Server CLIENT. This isn't supported.
3. Make sure the view you are trying to modify, doesn't have a permanent sorting rule applied. Right click on the View in the tree -> Customize View -> Included Files (Right side) -> Set Rules for file display. There can be a "Sort By" rule under the Modify Results section.
TIP: I keep #1 disabled, and define all my sorting systems via #3. If you do it this way, you can "quick sort" (for just a single-purpose) by clicking the header, but you design your long-term view "thoughtfully" via the #3 mechanism. When you do need to "quick sort" a view, you can be sure it will always go back to the way you really designed it. If you use a certain sorting system frequently, make a separate view just for that sorting style, which you can then customize in other ways with column orders and different search filters.