mmmh.... The forum use two system to keep you logged in, one with cookies and one with session ids, in the second case the browser will show you the site's link in the address box followed by a long serie of numbers and letters that is the session id code (it's used to keep logged in people with cookies disabled, for example if you're not connecting from your PC).
Another explanation is that you've to completely close all the browser's windows because the cookies are stored in the temporary internet folder too...
(Why one has to log out from our wonderful site ?
)