Hi Robin,
This is a feature we have planned for our next major release which is tentatively set for early next year. The new and improved UI will allow you to save column widths and will retain your filter and sort preferences. In the meantime, the current version of the tool will retain the sort and filter set in the Work Items tab so long as you remain logged in. If you log out, however, only the sort will be retained. I've demonstrated here: http://screencast.com/t/XObywp92Xw
-Alex