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.