Why does TestInitialize get fired for every test in my Visual Studio unit tests?

I'm using Visual Studio 2010 Beta 2. I've got a single [TestClass], which has a [TestInitialize], [TestCleanup] and a few [TestMethods].

Every time a test method is run, the initialize and cleanup methods are ALSO run!

I was under the impression that the [TestInitialize] & [TestCleanup] should only be run once, per local test run.

Is that correct? If not, what is the proper way to do this?