I've never experienced this problem before...

My guess is that some file is corrupt or something of that nature. Have you tried redownloading and installing the game?

You can try OpenTyrian and see if you still have the same issues. OpenTyrian is an updated build of Tyrian (although not Tyrian 2000). You'll probably want the Windows build with Tyrian 2.1 data download.

I've never had this problem. There are only three things that come to mind that might cause this:

1) It's installed in your 'program files' directory and you're using Vista or later. This is an issue where M$ has made changing all files within that directory requiring admin access and it's quite annoying; Since saves are in the same local directory as the main program. If that's the case make sure it's installed elsewhere (like C:\GoG Games\).

2) You didn't confirm purchase. Usually it's obvious when this happens, but sometimes you don't notice since the difference in upgrading is small enough that you didn't actually purchase the upgrade/different weapon.

3) Death. Specifically any upgrades, money, bonuses, etc, all these revert to how it was before the level IF you die during the mission. Arcade you can't buy upgrades, you just get them so that isn't applicable here.