IE 5.5 SP1 and passwords

We are running W2K, with IE 5.5 SP1. Users are authenticated when they try to access the internet. They enter their user name, password and check to SAVE password in password list. Click OK and they have access to the web.
Problem: when the usercloses IE, and reopens IE, clicks on a web site, the user name and password is not saved.

What would be causing this problem and how can I fix it?