I setup a Windows XP Pro (SP2) computer, added programs, and tweaked the profile inside a secondary local administrator account, i.e., "Admin2". To obtain needed executables on a domain computer, I opened a remote folder via \\Computer_Name\Sharename, and provided the domain username and password when prompted. Then I logged out and logged in as "Administrator" (local), copied the Admin2 profile to the Default User folder. (I don't remember, but I may or may not have accessed the same \\Computer_Name\Sharename while logged in as Administrator).
To test it, I logged back in as Admin 2 and deleted the Administrator profile, then logged back in as Aministrator to recreate the Administrator profile. Here's the kicker: Any \\Computer_Name\Sharename on a Windows 2000 or Windows XP computer on the network in the domain, of which the local computer is not a part, opened via explorer or the run box opens without prompting for username and passsword. In other words, the credentials never cleared, even after several reboots and several attempts to delete and recreate the Administrator profile.
By the way, the account profile used to create the Default User profile, "Admin2" does not itself exhibit this behavior when logged in as Admin2. Checking the Saved Network Password control panel applet for Administrator shows no save passwords. Also, changing the workgroup name and rebooting did not fix the problem.