Hi Tim,
The behavior you're describing is expected. The MyMSN page requires users to be logged in to see their customizations, so if you have the page set as your homepage, the first time you visit the site during a browsing session, you will be required to login (thus the Windows Live ID login page). For now, we do not have the "remember me" option available directly through MyMSN.
The "Live ID Sign-in Assistant" - a small add-on that is bundled with Windows Live Essentials or the MSN Toolbar - is a tool that will enable an auto sign-in option. If you don't want to install these products, there is a standalone Beta version of the Sign-in Assistant available here.
Thanks,
Jason
Jason Garza, Program Manager