This is happening because when Network Manager is about to use your saved password to authenticate to your network it first needs your permission (to make sure it's you...)
To get rid ("fix") of this:
Go to Applications -> Accessories -> Passwords and Encryption Keys
Click Edit -> Preferences
Select the line that says:
Click Change Unlock Password, type in your Old password and leave fields for new password empty. That's it!
login Automatically unlocked when user logs in.
Don't worry, you are not changing your password really, you are just... let's say, lowering security. Something like turning those stupid messages that ask for your permission to do anything on Vista off....