Krodal:
If you burn the bootloader with the Arduino program, it will also set the fuses.
I've only begun to do my research, but it looks like you need a hardware programmer, or build a bit-banger with another ATmega device to do this.
For now, I'd like to figure out why I can't set the fuses. I can always go nuclear at some future point, of course. Maybe it's my excuse to buy another ATmega device, or Arduino.