Remember my Proxy Password IE (TS)

Hi,
On a Windows Server 2003, I use Internet Explorer to navigate the web.
Internet Explorer use a proxy server with an authentification to connect
to the web.

My problem is that I have to fill the authentication form every time I
launch Internet Explorer.

On classic Win XP there is a checkbox "remember my password" to tick.
But on this computer there's not the checkbox.

Anyone know how to display this checkbox on the proxy authentication
form box ?

Thanks for your help by advance
François