Every time I upgrade this program I lose my playlists and settings (ex: gapless searching). What am I doing wrong?
Do you mean when upgrading from build-to-build within the same "major version" of MC? That shouldn't happen. Or do you mean when you went from v15 to v16? That should, but you can use Jim's suggestion to re-import your settings.
If it is just when you upgrade to a new build of the MC16, then are you uninstalling old builds first? You don't need to. You can, if you want (or if something has gone wrong), but you have to make sure to de-select the default option to remove your settings and/or library when you run through the uninstaller. But, don't bother unless you have an issue (which hasn't happened to me in a long, long while). Just install the new one "over top" of the old one. If something is really weird, uninstall (saving settings), reboot, and then reinstall; but this is rare.
If you aren't uninstalling first, and it is still losing all of your settings whenever you upgrade, something non-standard is happening. Are you running on some sort of weird limited user account? Bound to a domain? I don't know if those things could cause issues (domains should generally work, I have one at the office and MC works fine), but who knows... Something to check. Also, do you have one of those program install/uninstall manager applications on your machine? How about a registry "protector"? (Both generally useless and often evil, though certain uninstall trackers can be useful if used very sparingly.) How about weird permissions errors in the file system? Specifically, check your C:\Users\<USERNAME>\AppData\Roaming\J River folder (hidden, and that's the Vista/7 location, XP is different but similar) and make sure your user has write permissions and ownership of the folder. You should have ownership on your entire user folder, frankly, including hidden folders. Also check read-only status for the files in Windows.
The last thing I can think of is if the registry keys itself actually has permissions errors, but that should impact you every time you close and re-open MC (which would also probably be the case with the user AppData directory too, but those issues might be more subtle).