Cant stay logged in!!

My problem is that I cant stay Logged In.

I come here, find a post I can contribute to
I click reply and have to log in to be able to write my answer
I click submit
I get a message stating that I have not logged in
I log in again
I'm redirected to a page stating that I have not selected a forum
I hit the backbuttom 3-4 times to get to my answer, sometimes its there, sometimes I have to write it again
I click submit
Its accepted

Go to next post
I click reply and have to login again

From FAQ:
This board also gives you the option to use a cookie to track your current session, ensuring that you remain logged-on while browsing the site. If you choose not to store this information in a cookie, the session data will be sent through each link you click. Choosing not to use a cookie may cause problems if your computer's connection to the Internet uses a proxy-server and you share links with other users behind the same proxy. If in doubt, we recommend that you select 'yes' to enable the cookie.

In my Profile:
Browse board with cookies? Yes

Why Oh Why dont you like me???

Don't you have to set something in your browser to use cookies at all?

I have my browsers security set to normal, which makes it accept all cookies.