Proxy Password Not Saved

I have a Windows XP PC that logs onto a proxy server and
need to enter a username when I use Internet Explorer.
If I click Save Password, this works fine. If I log on
as another user, this password is not saved and I have to
enter it again. I must point out that both users are
using the same profile on the NT Server and the user that
the profile was created from always remembers the
password. How can I get it so all users don't need to
enter a username.