If you want do design a SharePoint 2007 Services or Server Site which uses Forms Login with Office SharePoint Designer, it is important to save the authentication cookie on the client. This is required by SharePoint Designer, because it uses pass-through authentication, which doesn't work if you have forms authentication enabled on your site. By selecting "Login automatically" at the sites login screen, your credentials get stored in an authentication cookie, which then is used by SharePoint designer.
If you use Internet Explorer 7 on your machine and your site is only reachable over the internet, you will run into an authentication problem even if you have selected "Login automatically". The reason for this lies in the trusting-mechanism of IE7. As said before, the site is reachable over the internet. Therefore it isn't a trusted site per default, and the creation of an authentication cookie isn't allowed. So the only thing you have to do is to add it to your trusted sites in the internet options dial ...