I've followed the instructions here on making a .netrc file to store my FTP logins. I don't know where to put this file though. I've tried it in various places, but Emacs doesn't seem to recognise it.
I'm using EmacsW32.
I think password caching only lasts the length of the session. YHVH was correct though - I was just trying to save my .netrc in the wrong place. I'll mark this as the accepted answer, but if YHVH answers I'll delete mine and set theirs as the accepted answer.
Emacs does have password caching built in in
To change this either use