ditto... this happened with my (brief) experience using Vista and appears to be the same with Windows Server 2008. Windows DOES appear to pass the stored credentials when simply browsing network files/folders, but it doesn't apply to applications such as SQL Management Studio.
I assumed this was related to SPNs / Kerberos, but I really don't know enough about authentication to know what's really happening.
Old topic I know, but still very relevant.
I do know one potential workaround is to use the "runas" command when launching SQLMS, but doing so requires that I re-enter my username and/or password every time I launch it... which is lame IMO because it just adds overhead to performing simple tasks.