Here is the fix:
Mac OS X can open or execute designated login items immediately after you log in to your computer. To make a server connection a login item, follow the steps below:
Note: After following the below steps and the "Connect to Server" dialog box appears on startup, type your name and password, or choose Guest access, then click Connect. Make sure to remember the credentials in your Keychain if you don't want to be asked for the login and password every time.
For Mac OS X v10.4, v10.5, and v10.6 and apparently 10.8 (tested it myself April 2013)
From the Finder menu, choose Preferences. Under "Show these items on the Desktop,"enable the option for "Connected servers."
Connect to the server volume(s) you would like to automatically mount at login.
Open System Preferences.
Select the Accounts preference pane
Under your user: Click the Login Items tab.
Drag the volume(s) from the Finder into the Login Items list in the System Preferences window.
Log out and log in again. Wait about 5-20 seconds for it to show up in the side bar.
Taken from http://support.apple.com/kb/ht4011?viewlocale=en_en