Member Rara Avis
Sound like you have persistent cookies disabled, Pete. There's a short article in the Member's Menu/Troubleshooting Guide about crumbled cookies, but here's the pertinent passage for you.
In Internet Explorer, go to the menu and select Tools, then Internet Options. Click on the Security tab at the top of the resulting popup, then click on the button labeled Custom Level. You'll get anothr popup window. The top part deals with ActiveX contols, so you'll have to use the scroll bar to move down a bit. When you find the two Cookie sections, you'll want to click on "Enable" for both Stored cookies and Session cookies. (You could also select "Prompt," which will ask you each time a cookie is sent to your PC - just don't Disable either of them.)