Technically, yes. It IS saving his settings, but they aren't actually being applied. It WILL say that his FSB is "###," but they are still set at the stock 333 (I think).
I'm pretty sure after his computer boots back up after attempting to overclock, when he goes back into the BIOS, that there is a big red box that pops up that is basically saying that his system isn't running at his desired speeds.
Running Memtest86 isn't going to do anything for him at this point. All he would be doing would be seeing how stable his RAM is at stock speeds.
EDIT:
OP make sure you have disabled EIST and C1E.
That's what I was talking about^