Where are you trying to save passwords / usernames / etc? If you're on an SSL site and it's a forms-based login on the page, it won't work, period - by design. If you're having trouble in username/password form fields on non-SSL sites, that's a different story. It could still be by design (there are page attributes that can disallow this), but it can also be a problem with your autocomplete or credential cache in IE8 at least - if it's a forms-based logon on a web page, it would be autocomplete. If it's a Windows dialog, that's credman (and has nothing to do with IE).
So, which is it? Also, this probably belongs in the browsers section, for what it's worth.