IE 9 isn't saving my cookies properly?

I'm running IE9- only because my wife shares this machine and got first dibs on Waterfox. But that's another post.

When I log into my favorite sites, such as this one, IE9 save my log-in info no problem, until I shut down the computer. If I boot up from shutdown or restart, it's as if all my cookies cleared, and I have to log into everything all over again. I suspect there may be a setting I'm overlooking. Even comparing this version of 9 to the one on my laptop (the screen shot seems to be different on each), I can't see any settings that have changed.

Hints cheerfully accepted.

A few options:

Go to Tools > Internet Options. On the Genreral tab make sure 'Delete browsing history on exit' is unchecked.

On the Advanced tab uncheck 'Empty Temporary Internet Files folder when browser is closed'.

You may also have InPrivate Browsing enabled which 'helps prevent Internet Explorer from storing data about your browsing session. This includes cookies, temporary Internet files, history, and other data.' Tools > InPrivate Browsing.