It is possible to save as many sets as you like. Your set is saved in a file called "spelldata.cgr" which is located in the "userdata" folder. After you quit your game (don't log out), if you copy and paste that somewhere else for safekeeping, you can paste it into the userdata folder later to replace the old one.

M&A don't recommend doing this, especially between versions, as that might cause problems in your game. But I've never had any negative side effects.

Running "as administrator" is only necessary if you are using Windows 7--if you are, just right-click the program icon and select "run as administrator." If you're running an earlier version of Windows, don't worry about it.