Sometimes the remote desktop connection credentials does not get saved even if you check "Allow to save the credentials" option on Remote desktop connection dialog.
You can use the credentials manager to save the different remote desktop credentials.
Under the category view
Go to Control Panel-> User Accounts -> Credential Manager.
If you dont have the classic/category view then
go to Control Panel-> Credential Manager.
The add the generic credentials. On the generic credentials dialog add the ip/name of the remote computer and enter the credentials for the same and click Ok.
Now here after you will not be asked for the credentials for that computer.
You can even save the credentials for shared location as well.