What 5850 did you get? As far as im aware there is a few of them with a BIOS that dont allow overclocking.
Really? Don't think so, you have a link?
@OP to get MSI Afterburner to work properly you need to go to
C: /Program Files(x86)MSI Afterburner, Right click on the file called MSIAfterburner (the one thats a CFG file) go to 'Open with' and choose Notepad.
Then where it says "Enableunofficialoverclocking = 0" Change the '0' to a 1
Save the file, and your done the sliders should stay and not go back to default when you hit apply.