The same place it stores all other passwords, in the passwords file !
The file should be the first eight chars of your windows login name (with no spaces) and has a .pwl extention. If you look on the astalavista.box.sk site there are loads of utilsfor hacking the file to find all your passwords, so if you want to keep your files safe on a share, don't save the password !! (i only know that through having to get into a couple of places when people had forgotten there passwords and managed to loose the drive mapping on auto connects)
A.C