in IE, go to Internet options. go to the security tab. highlight Local Intranet and then click Custom Level. at the bottom of the settings, make sure "automatic logon with current user name and password" is selected. then click ok. make sure Local Intranet is still highlighted and click the button called Sites. in IE 7, i see a box that has an Advanced button. click Advanced. in IE 6, i think it just takes you to that page where you can verify that your sharepoint site is listed. if it’s not listed, add it in.
IE will then automatically log users in.