May have to edit the prefs file and/or the default ini file in the game directory to get things to stick with Steam but you should be able to change things none the less. Why can't you access the ini file? It's found in your My Documents\My Games\FalloutNV folder along side your save games by default and you should be able to open it an edit it like any ini file.

You're playing on the PC man, live it up a little.