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as willow said check your browser settings.
if your browser is set to delete your history and cookies etc after every time you close the browser you will need to re-log in every time you come back and visit the site.

If you are using Internet explorer make sure the delete browing history upon exit check box isn’t checked in your options and it might solve your problem.
unless of course you have something to hide and need your history deleted every time you close your browser