I have about had it with this tool, I check the save password box at the login dialogue but it just doesn't work. Sometimes it will for a few days, and then the password will just be gone. Nearly every time I load this thing up I have to track down the password again and type it in. Is there some password rule in the database that would be causing this? This is driving me absolutely crazy.
I have the same problem, and some of my colleagues too. Searching tells me that some have the same problem and some doesn't experience it at all.
Microsoft has been aware of this for two years or more, but so far it doesn't appear to be a solution...
MSDN Forums "SQL Server Management Studio 2005 forgets password?"
Here's someone why had some luck by typing in the server name instead of selecting it in the dropdown. (I haven't tried this myself yet.):
eggheadcafe "Management Studio forgets password ("change connection")"
Here's a bug report from 10/2006 that is closed because it's a duplicate, but I haven't been able to find the original bug report...
Microsoft Connect: "'Remember Password' option is not remembered in Registered Server Properties"