My dad is having the same problem so I came to Answerbank for the answer.
Unfortunately nobody seems to have an answer for this.
It seems to be a bug of sorts but even upgrading to the next version of Messenger hasn't helped, and yet, I have the same version of Messenger and Windows as he has and I've had no problems.
To restate the problem as I understand it, when he starts his Windows Live Messenger he is presented with the sign in panel yet, when he checks "Remember my Email address" (I'm doing this from memory so please excuse any errors), "Remember my password" and "Sign me in Automatically", it does none of the above and simply asks for the same information (email and password) after restart when both should have been saved.
If anybody has a solution I'd love to hear it.
Thanks.
Azimov