I want to select a color scheme in gVim such that it's used always (i. e. if I select color scheme X, close gVim, and start it again, it should start with X as the color scheme, not the default one).

[![Screenshot](https://i.stack.imgur.com/30bY0.png)](https://i.stack.imgur.com/30bY0.png)

How can I do it? 

Just selecting the color scheme (see menu in the screenshot above) doesn't help.