It's a Windows problem. It connects to the NAS as guest first. Once it does that, it won't let you connect as another user. There are a couple of possible fixes, though.
Connect as the user you want first.
1) First, get rid of the existing connection. Go to a command prompt and type net use to get a list of connections
2) Find the connections for your NAS. For each one type Net use /delete
3) IT should say that it was deleted succssfully
4) Map a drive to the share you want. Start by going to the network connections
5) Go to tools -> map network drive
6) Pick a letter, type in the path to the share, and click Connect using a different user name
7) Type in the user name and password, then click OK
8) Make sure "reconnect on login" is enabled, then click OK
Match user names
A simpler way is to create a user and password on the NAS that matches your Windows user name and password. This may not work for some user names, since Windows allows characters (such as periods) that the NAS doesn't. If you can do this, though, it will be a lot simpler and more reliable.