Have you tried saving the relationship window before you close It?
One thing I notice from your screenshot is that none of the relationships appear to be enforced. An unenforced relationship serves no useful purpose, and it is essential to the integrity of the database that the enforcement of referential integrity is selected in each relationship dialogue.
If you are using autonumber columns as the primary keys then you do not need to enforce cascade updates, but you should usually do so otherwise. The enforcement of cascade deletes is much more of a matter of judgement. It should only be done if you are certain that you want the matching rows in a referencing table to be deleted when you delete the relevant row in the referenced table. Otherwise leave it unenforced, in which case you will not be able to delete a row from a referenced table if one or more matching rows exists in a referencing table in the relationship.
Finally, I see that you have included spaces in column names. This can cause notational problems, and most experienced Access developers advise strongly against the use of spaces or other special characters in object names. Either represent a space by an underscore character like_this or use camel case LikeThis.
Edited: Reference to cascade deletes in para 3 corrected to cascade updates.