OK I got it.
Initially where you get it, you only get the HFS.exe file, when you save the options, it just saves the menu options and creats an ini file.
When you save the vfs filesystem to a file name of your choosing, save it in the same directory as HFS.exe, so that when the next time, it starts it'll pick it up. If it cannot file a vfs file, it load athe defaults.
Thanks