Whilst persistent cookies are useful for a lot of sites in some cases they're not approriate. Sites that require a higher level of security such as many financial, insurance, government or ecommerce sites often do not want to offer the choice of persistent cookies to their users - we've had a number of security audit's sent in to the security@dnnsoftware.com email alias where this has been flagged as an issue.
In DotNetNuke version 5.0, an option was added so that the "remember me" checkbox can be removed. To access this, log in as a superuser and go to the Host Settings menu. There you'll see the option to enable the remember me checkbox. By default this will be checked to match the existing behaviour, simply uncheck this to remove the "remember me" checkbox the the user.
If you want to set this option before installation, you can add
<RememberCheckbox>N</RememberCheckbox>
as a node to the DotNetNuke.install.config