Every time I launch BG2, I get the popup saying "Since this is your first time playing, please set your configuration" or whatever and then it loads the out-of-game config program. I have already played a little and have saved my game. What do I need to do to get it to realize it's not my first time and I have already set up the config the way I want it???

Have you clicked 'save' before exiting the config?

I'm guessing you have, in which case I'm guessing you have installed it to the Program Files directory and haven't given it admin rights, which means it can't save any changes and what not, at least not to that directory (once you give it admin rights you might find you'll have to move your save game to the proper folder, that's what happened with my Silent Hill 3 saves).

In other words, try running as administrator. Right-click on the exe and select properties and then tick the 'run as administrator' box, see if that makes any difference.

I don't think that's it. I'm running XP and it's an administrator account. Also, the settings do save, because I have changed several of them and every time it pops up they are what I saved them as last.

I even checked the .ini file for the game (I forget the name of it and can't check because I'm at work... it was something like Baldur.ini or Baldur2.ini) and it has a line reading "first run=0". Yet still I get this message each time.

It does the same for me when I run it from the game directory, but when I use the shortcut on my desktop it starts right away.

I had the same problem recently, and even made a topic about it here: http://www.gog.com/en/forum/baldur_s_gate/bg2_configuration_window_appearing_at_startup

Turns out you can skip the launcher and the config window by using a shortcut to BGMain.exe instead of baldur.exe.

This is very odd because I cannot run any of my GOG games from the shortcut; they all CTD instantly. That includes G1, G2, NWN, ToEE and BG2. Only if I move the game to a non-Program files(86) directory will a shortcut work. On the other hand, I've always been able to run the exe directly.

That's a common issue when you install games to your Programs (x86) folder. Win7 for some reason really borks that up. It's suggested to install your games to a different folder altogether and keep them away from your Programs folder.