Sounds like your browser is deleting cookies!
This can be any number of reasons, but they are all client side, generally it's one of these three things;
1: You simply have cookies disabled in your browser.
2: There's a "privacy program" of some kind on your computer, automatically deleting history, cookies, temporary files etc. every time you reboot.
3: There's some corruption in your browser - if Firefox, try a full uninstall and reinstall of Firefox (make sure to back up your bookmarks), or if IE, try deleting all the cookies/temp files etc. manually.
If you get stuck with any of that, post back and I'm sure someone can help you with the problem. It can be worth trying a different web browser just to test if cookies are only deleting with a certain browser, too, to help narrow down the issue