Saved Passwords for Protective storage

Our company uses XP Profrssional and shares mapped drives on a windows 2003 server. The user name is setup for access to the shares on the server , however, WE DO NOT logon to the Domain. Users logon to local PC. The mapped network drive stored password on several PC’s will not save. We have tried most everything we can find on stored passwords, ie. User account, Manage my network passwords. But when user logs off local PC, password for shares are lost. Any help would be appreciated.
Thanks, Mike