yeah here i am again, i had the same problem in the full version (german) like within the demo.
i got "my documents" on D:, while i installed UT3 on C:, maybe this is causing the problem!?
i've started UT3, logged in (with my demo account), tried the campagnes etc, but everytime i started UT3 again, it was like i started it for the first time. so i had to enter the CD-Key everytime and make all the settings.
i solved it the same way how i solved the problem within the beta-demo:
a friend of mine who also bought UT3 sent me his "Unreal Tournament 3"-folder from "My Games" and now it works.
i think this can be a big issue for some people, that are not into UT and PCs like me :|
Hope this will be fixed with a patch.
excuse my english, i'm not a native speaker.