I never got it to work, not with XP when I had it, neither with Vista which I'm using now. Don't think it's a Qnap problem, though, but can't tell for sure.
In my startup menu I have placed a shortcut to the mapped drive which then opens up first thing after booting. I input username and password and for the rest of the session I can access without problems.
You can also choose to make the shares accessible to everyone in which case it is no problem for Windows to log on. Notice, however, that if some of your mapped drives are password protected and others are available for everyone, then Windows sees this as logging on to the same resource with different usernames which it won't do.