The standard setup for ArcMap sessions is controlled by the Normal.mxt file; basically the template .mxd file for a machine. If you open this .mxt file just like any other .mxd document and change settings to Arc they should take effect whenever you open Arc when not opening via a presaved .mxd file, where those settings have been overwritten via changing them and saving to an .mxd.
If you do the what Chris W answered but when in an Arc session by opening your Normal.mxt file, i.e. navigate to Customize --> ArcMap Options --> Raster and select 'Always build pyramids and don't prompt in the future' (or any option you want) and apply the settings it should take effect when opening Arc in future sessions.
I am on a Windows 7 machine using Arc 10.1 and my Normal.mxt file is located in *\AppData\Roaming\ESRI\Desktop10.1\ArcMap\Templates
I am not certain if it makes a difference but when you navigate to the *\AppData\Roaming\ESRI folder (or its equivalent) you should probably delete any previous arc version folders to be certain that they are not causing a miscommunication, probably an oversight but that is junk anyways and should be removed.