try it with netkar pro, you need to use the clutch there or make sure you time the changes, like a real gearbox.
Also Jeff, many modern cars will allow you to change without a clutch, if you do it right, but yes, as Byron said, its the games you are playing. Netkar pro is the only one to get it right so far.
As for not holding settings, return and get a replacement, you shouldnt have that problem, either that or there is something amiss in the software. the G25 really is worth the money.