When you use Internet Explorer, it can be very comfortable to say yes for the password saving prompt, simply because it is stored in a secure way in your Windows profile on your computer. The only issue with this, that if you save not just form authentication passwords but Server/Windows authentication passwords as well, the browser will try to logon automatically to the specific system.
If you would like to change your identity - prevent Internet Explorer to use Single Sing-on (SSO) - you have to delete the saved password. If you don't want to search for panels on the Control Panel, simply run the following command in the Run popup:
After that press the [enter] button. On the panel appear go to the second tab called Advanced and press the Manage passwords button. There you can delete all of your saved passwords but of course you should remember your deleted passwords because you won't be able to log on to your systems anyway.