Sounds like you have stored the password for it in the Keychain - there is a checkbox for that when it asks for the password. You can edit stored passwords in the Keychain app, which is in Applications -> Utilities, IIRC. Find the stored password and delete it, and it should ask for the password every time again.
Note that the stored password is tied to the account, so if someone else connects the drive, the encrypted partition will stay locked.