I had the same problem a few months ago when I set up a 'new' XP computer as the primary one for internet work (it's since crashed and had to be rebuilt but that's another story
).
Eventually I traced it to a setting in my security suite (CA) which was (apparently) default programmed to remove cookies immediately upon use (it's well disguised under the Privacy settings). I removed the tick from the box and the problem disappeared.
It may be that a similar program which is 'tidying up as it goes' is responsible in these cases also.
Regards,
FO Rudder