Se você estiver usando autenticação básica, infelizmente, o Windows 7 não permite isso
In Windows 7 Basic authentication cannot be persisted by the Credential Manager in Windows 7, this is new to the OS. The only way with Basic authentication mode to reconnect is to disconnect the drive and reconnect again, because WinHttp is not able to retrieve saved Basic and Digest credentials. For persistent connections ensure that an authentication scheme is selected that allowes to have persistent credentials through a reboot. For example Kerberos for authentication or certificate based authentication will work.
Se você está usando o windows auth integrado, então existe uma configuração de registro que você precisa ativar para permitir que ele funcione.
HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\WebClient\Parameters
AuthForwardServerList (MULTI_SZ)
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