Hi Benz and
Someone had a similar problem a few weeks back on here but I dont think that they posted to let us know if any of the solutions that were suggested had worked.
The having to turn the power of at the plugs before it does anything sounds like a PSU overheating problem doesnt it ?
I think the last one with this problem had changed that though and still had the same problem before contacting us.
All I can suggest is that you disconnect all drives, floppy, hard and CD/DVD ones and check that you can get into the BIOS without any problems and if it saves your settings that way.
Then put the minimum back on to boot into windows, the single boot drive.
If that runs ok and your settings are still staying as you set them, then add the other drives one by one, checking that the pc runs ok and that the cmos settings are still as you set them after each addition.
The only other thing I can think of is that your graphics card or ram may be faulty, have you any in another pc or a friend who has some that you can borrow to try substituting yours with ?
Still cant think why you would have to turn the power off though unless it was something in the power supply that needed to reset itself