Hi Jerry,
Welcome to Vista Forums.
If you mean for a web site, then you will need to have cookies enabled or enabled "Per Site". It should remember the password for next time as long as you do not delete the cookie for that that site. You can see more on how to do this here.
Cookies
For MSN Messenger, you will need to have
Allow automatic sign in when connected to the internet in Tools checked, Options, General tab. On the main Messenger window, you will also need to have
Remember my password,
Remember me, and
Sign me in automatically checked.
Hope this helps,
Shawn