Hi kb,
By 'advanced filtering' do you mean refining which results show on your search results page (like extension, bitrate, file size etc)?
AFAIK those are saved, but you'll still need to select a category (like audio, video etc) each time, in order for those columns to show.
Apart from adding words to LW's filters (I guess you mean tools > options > search > filter keywords), you can add file extensions that are known for spam or viruses... like .wma, .wmv, .mov, .au, .exe, .rar, .zip. More info about which extensions are worth filtering & other tips here:
How to find music
After adding a keyword or extension, remember to click ok & then also click ok again on the main options page to save a change.