I have a firewall through Norton Internet Security but its set to allow anything Firefox does...I even turned the whole firewall off and it still wouldn't remember my login details.
It remembers the login details for however long I have the window open for. Once I close the window and get back in, I have to log in again to Media Spy.
It's a cookie issue then most likely. Does FF do the same thing for other pages where you can login (hotmail etc)? In the privacy setting of FF, what have you got your "keep cookies" drop down box set to?