Hi, would you mind if you scan your computer with anti-virus software again to ensure your computer is not undermined by any virus to wreck your cookie function. 

Otherwise you had better uninstall and install your explorer again or adopt another version of browser to know if you are encountering a systemic problem that is damaging your desktop. 

What browser are you using?

It works with me, although I have to say, this 'keep me logged in' does not work forever, only for a week (??) or so.

My advice would be, try another browser, does it have the same effect? One reason can be that you have set the options of your browser in such a way that it does not remember certain data it needs to stay logged on. Do you have this problem with other websites?