It must be a software like one from Norton System tools or the like, which overrides your user settings for the custom window sizes.
Custom sizes work fine on my PC, including IE 8.
1. Open ONE instance of an application, like 1 IE 8 Window, or 1 FF window, just ONE instance and not more!!
2. Adjust window size, the height and the width
3. File => Close
4. Now restart the application to see if it's keeping the new size