I can think of two ways.
Server based:
You could have the setting stored in your user's account and
(assuming the player is only accessible by authenticated users) you
could pass the setting in a flashvar when the page holding the swf
is generated.
Client based:
You could use a local sharedObject to save the user
preferences and retrieve it the next time the swf is played. check
out sharedObject in the help files.