You got spyware...you got spyware.
If it keeps setting back to some other homepage after you set it to CNN.com, then that is the first sign you have spyware on your machine.
It's a pain in the butt and should be called a virus, but it doesn't do anything harmful to you computer besides that up space and displeases you. The best way to get rid of it is use a spyware remover. The best one I found has been SpyBot: Search and Destoy.
It is free however, it is such a good program donate a $5 bucks or so to help SpyBot continue to upgrade their program. That should help solve your problem.
And if you haven't run a SpyWare removal software before, don't be surprised if you get 50 or so items. There is a lot of crap out there.
Remember...be safe on the internet...were a computer condom (that is Virus, Spam and AdWare software) and most all keep it up-to-date.