How dynamically setting options works:

 The simple options menu shows a relatively small subset of options
 and operates on each choice you make immediately, then is put back
 up to allow further changes.

 The full options menu shows the current value for all options and
 lets you pick ones that you'd like to change.  Picking them doesn't
 make any changes though.  That will take place once you close the
 menu.  For most of NetHack's interfaces, closing the menu is done
 by pressing the <enter> key or <return> key; others might require
 clicking on [ok].  Pressing the <escape> key or clicking on [cancel]
 will close the menu and discard any pending changes.

 The options menu is too long to fit on one screen.  Some interfaces
 paginate menus; use the '>' key to advance a page or '<' to back
 up.  They typically re-use selection letters (a-z) on each page.
 Others use one long page and you need to use a scrollbar; once past
 a-z and A-Z they'll have entries without selection letters.  Those
 can be selected by clicking on them.

 For toggling boolean (True/False or On/Off) options, selecting them
 is all that is needed.  For compound options (which take a number,
 a choice of several particular values, or something more complex,
 and are listed in a second section after the boolean ones), you will
 be prompted to supply a new value.

 At the start of each of the two sections are the values of some
 unselectable options which can only be set before the game starts.
 After the compound section are some "other" options which take a set
 of multiple values and tend to be more complicated to deal with.

 Some changes will only last until you save (or quit) the current
 game.  Usually those are for things that might not be appropriate
 if you were to restore the saved game on another computer with
 different capabilities.  Other options will be included in this
 game's save file and retain their settings after restore.  None set
 in the options menu will affect other games, either already saved or
 new ones.  For that, you need to update your run-time configuration
 file and specify the desired options settings there.  Even then,
 restoring existing games that contain saved option values will use
 those saved ones.