Are you using the standalone client or the IDE client? If IDE, which IDE version?
If the problem is IDE related, it might be that VS is overwriting the state file. See
http://support.sourcegear.com/viewtopic.php?t=2474 for info on how to make it stick.
If it is standalone client, look in the registry at HKEY_CURRENT_USER\Software\SourceGear\Vault\Client\Settings at the AutomaticLogin value.
One other thought: a profile can only be set to automatically login if a password is specified.