All Google could tell me about was 10.3, and advice to drag a mounted volume to Startup Items in System Preferences | Accounts just "poofed" my volume, making it not display in Finder any more. So, hopefully this will percolate up through Google.
First, make your mapping as normal (I suspect you'll need to tell Keychain to remember your authentication) in Finder. Open System Preferences, go to Accounts, then choose your own and click the Startup Items tab. Click +, and you'll get a mini-Finder window, and your mapping should appear there. Choose it, and click Add. To stop the mapping, you'll have to reverse the above.
Not sure how it works in 10.3; don't really care, either.