Move your .conf file from the default location to the same directory as codeblocks.exe. C::B looks for a .conf file (default.conf unless you tell it otherwise) in various places before creating a new one in the default place.
That is only 95% correct. Code::Blocks will use a configuration file from the same path where the executable is located
if none can be found in the normal location, not by default.
This is to allow you to put Code::Blocks onto a CD-ROM or similar medium with a custom configuration, and yet users can have personalised settings on their indidvidual PCs (falling back to whatever the distribution packager deems a good default).
If you want to use the config file on a flash drive regardless of any other settings on the computer, then use a different profile (anything that's different from "default"). This profile will obviously not be found on the PC and the one on the flash drive will be used (and saved to).
In case you already have some settings saved as "default" profile, feel free to simply rename the file, Code::Blocks won't get angry about it.