Try this:
http://support.microsoft.com/?kbid=264672

Hello;

Please try these steps and see if it corrects the issue.

Unlike previous versions of Windows, Windows XP manages the
credentials that are saved instead of Internet Explorer and this
behavior is considered by design for security reasons.

1.  Open up the Internet Options Control Panel by opening up the
browser and selecting  "Tools->Internet Options...".

2.  Select the Security tab and highlight "Internet" in the Web
content zones area.

3.  Select the "Custom Level..." pushbutton.

4.  Scroll down to the User Authentication section (The last section).

5.  Under Logon, ensure that Automatic logon with current username and
password (Third entry) is selected.

6.  Select the OK pushbutton and close the Internet Options Control
Panel

Once you've completed the above, clear the cache and shutdown the
browser and start a new session.

It should now properly remember passwords that you have selected for
it to save.

Best regards,

Harley Henderson MCSE 2000
Microsoft Enterprise Platform Support
Windows Server Setup Support Team

Microsoft Security Announcement: Have you installed the patch for
Microsoft Security Bulletin MS03-039?  If not, Microsoft strongly
advises you to review the information at the following link regarding
Microsoft Security Bulletin MS03-039
http://www.microsoft.com/technet/security/bulletin/ms03-039.asp and/or
to visit Windows Update at http://windowsupdate.microsoft.com to
install the patch.  Running the Windows Update scan will help to
insure you are current with all security patches, not just MS03-039.  

Microsoft also highly recommends to all customers that you visit the
http://www.microsoft.com/protect site and perform the three
straightforward steps listed to improve your computer’s security.

For related books: http://go.microsoft.com/fwlink/?LinkId=8419

For Training and Certification:
http://www.microsoft.com/traincert/go/center

Are you secure? For information about the Microsoft strategic
Technology Protection Program and to order your FREE Security Tool
Kit, please visit http://www.microsoft.com/security