Are you sure you didn't accidentally click "NO" on a window that said something like "Do you want Windows to remember passwords?".. I know that window is present in XP and in Vista.. I think it may be worded slightly different in Win 7 though.. I'm sure you can change that if you look around in IE 8's "Options" or "Tools" menus..
I currently use Firefox more than IE 8 so I'm a little rusty on my IE 8 menu navigation.. my apologies..
Though I'm pretty sure you can tell IE 8 to remember that information if you want it to..