Excel 2007 : Can't change compatibility mode

I use Excel 2007 for creating pivot tables from Analysis Services. The problem is every time I open Excel it is set to compatibility mode. So, if I create a new pivot table, it is created in classic mode and doesn't have all the functionality from Excel 2007.
It looks like this: http://i44.tinypic.com/2dtber.jpg
I looked in the Excel options and format for saving files is set to Excel 97 - 2003 (*.xls): http://i39.tinypic.com/348gf2g.jpg. If I change it to the new 2007 format, create new workbook and new pivot table, it works as expected. But then I close Excel and open it again and format is set to Excel 2003 again! What is the problem that Excel can't remember my settings when I close it? I tried to run it as administrator, but it's the same. The OS is Windows Server 2008 R2.