O.k. Now I understand, Thanks Alex, you put a lot of work in this new version thanks for that also.
In the next version I'm hoping to make it pre-select one of the already-logged-on credentials in that dropdown, if there are any. I still need to work out the logic though. (You can already do this manually from the command line, using e.g. "connect /user:WORKGROUP\alex".)
Another possibly non-obvious feature is that if you set specific credentials for browsing in the Network Browser (under the Network->Authenticate menu - it offers any credentials which are already logged in), it will pre-select that user by default when you connect to a share from within the Browser. (This doesn't apply if connecting outside the Browser, though.)
By the way, I always welcome suggestions for improving the help (both the individual program help or the ArcaMapper Guide). Some of the concepts are admittedly a bit convoluted.