Further to William Hilsum's answer, this method does not require you to leave the password in plain text in the registry (although I am not sure how the authentication is actually stored).
As a local administrator, tell Windows to allow admins to log on automatically.
In Regedit, browse to
If it is not there, create a new String Value called
Set this value to 1
Tell Windows to remember the password for logging in.
In the run box, type
Ensure your domain username is in the list, if not, add it.
Untick (or tick and untick): Users must enter a user name and password to use this computer.
Make sure your username is selected. Click Apply.
At this point, Windows should prompt for the password that will be used.
Now head back to
Ensure the following String Values are set, if not, set them:
DefaultUserName: Your domain username (without the domain prefix)
DefaultDomainName: Your domain
That should be it.
Note on password changes:
You will need to redo this procedure from step 2 each time you change your password. Unfortunately Windows resets the DefaultDomainName to your local machine name every time you save that dialogue, so you have to change it back manually.