What you're doing *should* work. The fact that it doesn't suggests either a limitation of your work setup or a corrupt Preferences file. I can't speak to CS4 specifically or to the Windows OS, but the Guide setting should reside in a user Preferences file for Fireworks. On my Mac, the file path is:
~user/Library/Preferences/Adobe Fireworks CS6/en/Fireworks CS6 Preferences
Here's a peek inside that file:
This file will rebuild itself if you delete it, but you'll lose all your custom preferences if you do so. You could try entering the desired hex code manually (it's at line 254 in the above example), but perhaps you don't have access to that file on your work setup?
I also notice that your hex code (#ffa4a) is missing one letter, but I'm assuming that's just a typo in your forum post.
I forgot to ask: Are you having trouble with any other Fireworks preferences?
Here's more information on finding and restoring preferences: