http://chptech.chp.musc.edu/howto/mapdrive/mapdrive.htm
It works here for both 2000 and XP without having to type username and password each time.
Alternatively, from commandline, something like that:
net use z: \\targetmachine\targetshare /PERSISTENT:yes
If the targetshare name has any spaces, you must enclose it in brackets, like:
net use z: \\targetmachine\"Program Files" /PERSISTENT:yes
The script(s) you will make should be put in the %system root%\sysvol\sysvol\{domain}\scripts directory.
If none works then your security settings need tweaking/easing, or the DFS service is not running.