This is intentional. Windows does many things without any security precautions,
so you need to change your thinking when you move to Linux. Such things are not
to be thought of as inconveniences but security measures that protect you.

You will need to know your ESSID. It was established when you set up your
router. If you forgot, it will likely be whatever shows when you scan manually
now. The default is likely set to Roaming mode for your home network and you
want to turn this off right-clicking on Network manager and on Edit Connections
or go to System| Preferences| Network Configuration and then Wireless tab, so
that it will connect to your secure wireless connection, making sure you have
only one connection in your wireless network list. Realise that you are now
making it insecure as far as your home goes. People outside still don't know
your WEP or WPA key, but internally it won't be necessary. You aren't running an
insecure network perchance? WEP is more secure than WPA.

There is a box on my Network Connections to check to connect automatically, but
my system is highly modified and I no longer know what is standard or modified.
It may have connect automatically or a box to uncheck for Roaming Mode when you
edit the actual connection.

Another option is to remove the Network Manager in Synaptic and install wicd and
it has a box to check to connect automatically.
You can get wicd here and it has instructions for installing it for Ubuntu:
http://wicd.sourceforge.net/download.php

There are other complications that could keep it from working automatically,
depending on how it is set up. Here is a discussion on this from Launchpad:
https://answers.launchpad.net/ubuntu/+question/20490