To keep the memory, it probably uses a small battery, a "memory backup" capacitor (like 1 F, 5 V), or maybe an output on the power supply that isn't switched off along with everything else. Open it up and take a look - the battery or memory cap should be fairly obvious; the power supply might require a little poking around.
Also, did it previously remember its settings for a longer period of time? Some devices only have enough "backup" to ride through short power failures, not several days.
A quick Google reveals
Followups set to sci.electronics.repair.
Matt Roberds