This is a bug with SQL Management Studio. Microsoft seem to be aware of it, but have not fixed it as yet, and many users are experiencing it. Some users have reported success with always running the app as an administrator on Vista or Windows 7.
You can run Managment studio from the command line, and supply your password in this. By creating a shortut to this command it would always remember it, but obviously you would be hardcoding the password in there, not very secure. If you wanted to do thisthe command is:
"C:\Program Files\Microsoft SQL Server\90\Tools\Binn\VSShell\Common7\IDE\
SqlWb.exe" /S yourserver -U youruser -P yourpassword"