If what Kreator suggested doesn't work, try disabling your antivirus as well, just in case it's interfering with Anim8or's ability to save to the registry (if that is the cause, then add the program to your list of exceptions--don't worry, Anim8or is safe
)
If nothing works then you can manually change the settings in Regedit:
Open Regedit
Navigate to "HKEY_CURRENT_USER\Software\Silicon Valley Software\Anim8or"
Double click on Scripts.Preload and set it to 1
Double click on Directory.Script and set it to the directory you want (should look like C:\Your\Folder)
If you can't find these settings then you could try making them manually and see if Anim8or reads them. Attached is a registry file that will create all the values you need. But before executing it, right-click it and edit it in notepad, and set the "Directory.Script"="" line to your script folder.
(EDIT: I should mention that if you aren't comfortable modifying your registry, then educate yourself until you are, prior to messing around with it)