I had the same problem and found this thread in a search...
Turned out to be the Protected Storage service was disabled.
Quote from MSKB article
Click Start, and then click Run.
In the Open box, type Services.msc, and then click OK. The Services snap-in appears.
In the Name list, locate Protected Storage. Note the Status column. If Protected Storage is running, Started will appear under Status.
If Protected Storage is not started, start it. To do this, right-click Protected Storage, and then click Start. The Protected Storage service starts.
If Protected Storage is started, stop and then restart it. To do this, follow these steps:
Right-click Protected Storage, and then click Stop.
NOTE: If you receive a Stop Other Services message, record the names of the other services that will be stopped, and then click Yes. The Protected Storage service stops.
Right-click Protected Storage, and then click Start. The Protected Storage service starts.
NOTE: If you received a Stop Other Services message in step a, start the other services that were stopped. To do this, right-click each stopped service in the Name list (for example, World Wide Web Publishing Service), and then click Start.
Close the Services snap-in.
In my case the service was not only stopped, it was disabled. I started it and reset it to Automatic. Problem solved. Note that even with this service disabled DUN passwords were remembered, also POP3 paswords in Eudora
All things are possible except skiing through a revolving door.