I'm not having that problem, but what browser are you using?

In Firefox, it's Preferences>Privacy
then keep cookies until (anything except for "I close Firefox")
and if you've checked "Clear history when Firefox closes," then make sure "Cookies" is unchecked in the Clear History settings.


I don't know much about Internet Exploder, but I think v.8 is pretty new, and I know it has a lot more privacy options than it used to, so that might have something to do with it as well. Maybe you downloaded the new version and it defaults to deleting more cookies than you used to?