You probably have Location Services enabled, and being Microsoft it’s a dog’s breakfast.
Turn off Location Services and Windows will stop second-guessing what you set as your location. (Of course, that also means that if it’s actually a portable device, and you relocate it and care about Windows having an accurate idea of your locality, you’ll have to manually adjust it.)
Also, more specifically to time zone settings, there’s this:
Turn off the setting that allows Windows to guess your time zone and set it manually.
I got admit, on this one Microsoft screwed the pooch and I make my living off of Microsoft. I was getting annoyed as all hell with Windows thinking I was in Australia instead of Canada for some reason.