You enter your log on details every time you click File > Publish Web.
To save doing this every time, you can check the "remember password" option, then
the logon box comes up every time, but with your details already in the fields,
then you just click "Ok" and it will go and connect to the server.
If you maintain different sites on different servers (or same server with
different logon details), it's adviseable to logon for the first time, then click
"remember password" so you don't have to enter them every time.