If you do a quick search of the forums there are 100's of posts on this issue which comes up almost everyday.
The main course for this is if you use domain name masking, redirection, forwarding, IP address masking etc. to connect to your web site.
This is because web browsers for security reasons can only read in cookies set by that web site, if you don't connect directly to your web site then your web browser will not be able to associate the cookies with your web site and so can not read them back in.