On Windows 7, using the gvim_9.1.0912_x64.exe installer. Start gVim, then go to the Edit menu -> Select Font, select your favorite font and font size.
But after you restart gVim, it will still be the default font and font size. This happens even if you run gVim as an administrator. It can't remember the changes.
Is this a feature of gVim itself? Is there any profile written to make gVim remember its own settings?