This problem can occur if you are not logged into Windows. If you click Cancel in the logon box that appears when Windows 95/98 is starting, your password list cache file is not opened, and your passwords can't be saved.

This behaviour can also occur if you have installed Dial-Up Networking, but the client for Microsoft networks or the client for NetWare networks has not been installed. To open your password cache list file, log onto Windows by typing a password in the logon dialog box (to never receive a logon box again, type a username and leave the password blank).

Additional Information

Microsoft Knowledge Base - Article 137361