To save a new value, set S10 to what you would like, and then type AT&W. That should save it to your non-volitile memory in your modem. Some modems require that you specify the configuration to save it under, so AT&W0 should work in that case.
If you can close Hyperterminal, open it again and the value hasn't changed, then you are probably OK (provided that you are opening it by TAPI name rather than COM port number). If you can power down and it is OK when you power back up (actually shut the machine off), then you are OK as well.
The "right" way to do it is to go into the Control Panel, select Phone and Modem Options, pick your modem and change the Initialization string under Properties (I think). I don't have a Windows computer handy to give you exact directions. Maybe someone else out there can help??
pansophic