It's actually the browser that remembers your password, not Windows. Assuming you're using the standard Internet Explorer, go Tools->Internet Options, select the Content tab, click AutoComplete, and click Clear Passwords. Note that the functionality in IE6 is limited, so you have to delete all saved passwords if you want to delete the one. (That's one thing I prefer about Firefox...it gives you more control over your info.) If you want to delete just the one entry, or need to recover saved passwords, you'll have to purchase a utility such as IE Password Revealer, which seems good but something I've never tried.

Hope this helps,
John