You could also have some other software blocking cookies if you have the browser set up properly. Check your firewall, any pop-up blockers, Ad-Aware, Spybot S&D, etc.
I am not technically sure. I am behind a large corporate firewall and just installed ad-aware and popupstopper.com about three weeks ago. So either these new programs or a revised firewall is causing the prob. No other site I visit is having difficulty like this site keeping me logged on w/cookies.
I am running ad-aware every night eliminating the cookies for the day, coincidentially almost every cookie has a spybot embedded within it. Or basically that is what a cookie is, spybots! Damn spybots!
I know I was also facing this problem of logging in before every try, so I just moved to EduZaurus as their set up is a lot more user friendly. I just hope that they fix their website soon.