You must accept cookies.
a cookie is a file that contains information like your username and password on forums or nuke sites, also normal information for none forum and nuke sites.
If you don't accept cookies and you logged the browser will say it was a temp. cookie and will delete those info like username and password the moment you reload or goto an other page.

In Internet Explorer goto extra => Options in the new window press the Privacy tab so see how high your preferences are.. If these are set to High put it to normal and try again.

But as I said this could be your problem not accepting cookies.