SQL Agent History settings not being saved

I'm using Win 2K3 R2 + SP2 with SQL 2K8 R2 installed.

I'm trying to set SQL Agent History to keep 1 week of logs. So here's what I do: After I connect, I right click SQL Server Agent and select Properties. After that I select History. Then I observe that no checkboxes are selected. I Then select the second checkbox (Remove Agent history:). And change the value of weeks to 1. And click OK.

After that I reopen to see that nothing was altered.

If that's not enough sometimes when I try to see the history of some particular jobs it timeouts.

I appreciate any help.

Thanks @Pradeep I've added two steps to my daily maintenance job here's the script for the tasks.

For purging the Backup History (optimizes backup speed)

declare @lastweek date;
select @lastweek = CONVERT(DATE,DATEADD(WEEK,-1,GETDATE()));
EXEC MSDB.DBO.SP_DELETE_BACKUPHISTORY @oldest_date = @lastweek;

For purging Job history I had to use a cursor.

declare @lastweek date
select @lastweek = CONVERT(DATE,DATEADD(WEEK,-1,GETDATE()));

DECLARE jobs_cursor CURSOR
FAST_FORWARD
FOR select job_id from msdb.dbo.sysjobs
DECLARE @job_id UNIQUEIDENTIFIER
OPEN jobs_cursor

FETCH NEXT FROM jobs_cursor INTO @job_id
WHILE (@@fetch_status <> -1)
BEGIN
    IF  (@@fetch_status <> -2)
    BEGIN
        EXEC msdb.dbo.sp_purge_jobhistory @job_id = @job_id, @oldest_date = @lastweek;
    END
    FETCH NEXT FROM jobs_cursor INTO @job_id
END

CLOSE jobs_cursor
DEALLOCATE jobs_cursor
GO

Hope this helps if anyone also needs this.