Every time I need to connect to something in my company I get a dialog like this

So I type in my password(this can popup when I am in IE 9 or outlook or whatever.) and check the box. Say I am in IE 9 I can close done IE 9 and reopen it and go to the page I just was and it will come up with the same box.
It is like it never remembers that I said "remember my credentials".
Anyone have any ideas what the cause of this could be?