But if I tried going to this location
Start menu, ---> All Programs, ---> Microsoft SQL Server 2005,
then ---> SQL Server Management Studio.
I am not finding SQL Server Management Studio.
You don't have it installed, just run the setup again and add ssms.
Regarding orflums issue, I say it's by design, yes. It asks for credentials for new scripts, new query windows and new procedures for me too. The remember password checkbox doesn't seem to make any difference for me neither...