The integration is set up to do that automatically. You will have to log in when you are setting up your project on your machine.
We have a KB article on what to do when the auto-login isn't working:
Visual Studio always displays login or repository dialog
What also could make a difference is what you are using. What version of Vault are you using and which IDE? If VS 2005, which client is configured for source control (2003 or 2005)?
Auto login
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