>I'm using IE6 fully patched.

Can you tell me from which page you are logging in (when you are loosing your login) and from which option? I also would like to know how you succeeded to get in here if you are loosing your cookie login to the messages area when you are logging in.

>My cookies settings are:
>
>first-party cookies accept
>third-party cookies block

I'll have to check the difference between those two. If they are default, then, it shouldn't be a factor.