I try to change my audio from 48KHz to 44.1, and i press apply, but as soon as I close the settings and open them again it's back to 48. How can I make it stay on 44.1? I cant find the setting in the cfg file either.

Why would you want 44.1? I cannot think of any HW that hardware-supports 44.1 but not 48k but the question is just... are you sure your hardware suports 44.1?

Yes I am sure my hardware supports it. I think I found the problem as well. I noticed in the console that when I try to change the sample rate, it says that this is not supported yet. Is that why I can't do it and is that why I cant find any setting for it in the cfg file?

It would be create if you copy such a message instead of giving just a description of it.. for example you could set the variable log_file to mylogs.txt and you will find a copy of the gameconsole from that time on in this file. Or you start it (only works for nexuiz.exe as sdl does own stuff) from a console which i guess is a nono for windows users Hmm i think sdl uses an other file but its some time since i used windows..
Settings that are unchanged from the default are not saved to config.cfg. there is just no need for this..

Changing the rate is not supported in game. If you change the setting in the menu, the changes don't take effect until you restart the game. The setting however will get saved.

I have tried restarting the game, it still doesn't stick. What do I need to set in the CFG file to make it 44.1KHz?

Are you sure about that? after all there should be snd_restart?
Does the menu not do that? Hmm checking..
Yes the menu does do that so i would at least expect it do use that setting after pressing the accept button in the menu.
Well you should be able to start Nexuiz with the parameter
+snd_speed 44100
Or in the config.cfg:
set snd_speed 44100

Maybe its time you tell us the exact error message so we can see what wrong..