Getting rid of logon prompts when opening Office documents

Problem description: You are prompted to enter your credentials each time you open a Microsoft Office document stored in a SharePoint document library Each time you open a Microsoft Office document, you are prompted to enter your credentials again, even if you check the box remember my password. For non Microsoft Office documents, such as PDF files, you are not prompted to enter your credentials. The credentials prompt is not taken into account apparently: if you choose Cancel in the prompted window without entering your credentials, the Microsoft Office document is still opened.