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Well, I tinkered with the _HD3_Data\Settings\sod.ini file, and it worked (resetting the settings)! Before that, it reset once when trying to play online with someone and twice when playing against myself via TCP/IP. I'm using Windows XP SP3, and the game is installed in j:\iii\hmm3, just in case.
I have folders in the game directory like 23, 44, 66, 702, 804 – these contain backups of previous versions (the _HD3_Data folder and all files in the main directory; nothing else is needed for the HD mod, right?). Sometimes, I retrieve files from there, use them, and then overwrite them with a different version. So, all the necessary files are overwritten, but some unused files from previous versions might remain in the working directory... maybe that's the issue.