Version 6 Only:
If the option to save your settings in the Setup Manager does not appear, you don't have the config.inc.php file set to writable by the server. If you change this file's permissions to writable, you will see the Save button. See: Permissions FAQ
If this file is writable, but you still can not save changes, some files in the setup directory may have been corrupted when uploaded to the server. Please try uploading the files to the server again.