Why can't I save my password in the CONNECT TO box?

You are not currently logged into Windows95/98. Therefore your password cache list is not open, and you are not able to save passwords.

The workaround:
When you start Windows 95/98, do not click Cancel in the logon dialog box. If you do not have a password, create a new one by typing it in the Password box, or create a null password by clicking OK. If you create a null password, you are no longer prompted to log on to Windows 95/98 when Windows 95/98 starts. Creating a null password does not prevent other people from accessing your computer, but does allow you to save your password when you are using Dial-Up Networking or a shared network resource. NOTE: Creating a null password does not allow you to save your Dial-Up Networking password if you are using user profiles. Using user profiles prevents the Dial-Up Networking password from being saved. To restart Windows 95/98 so that you receive the logon dialog box, click Shut Down on the Start menu, click "Close all programs and log on as a different user," and then click OK.