clarifying cookies:
a 'cookie' is a file that is stored on your computer, just like any other file, that this site uses to store information about you.
the whole site uses a single cookie, or a single file in other words, and the forum simply writes a number of values to that file.
It writes your username, your password (heavily encrypted of course) and the time that the cookie expires.
When you log onto the board, the code checks to makes sure the username and password match a username and password on the database, and that the current time is smaller than the expire time.
If all this checks out, you are allowed to access the board. If not, you need to log in again.
If you click the 'never expire' checkbox, the cookie's expire time is set to about a year in advance.
My point here is that cookie problems are not the fault of the board. The code is sound - i have checked it. Make sure that your browser does not have really high security settings set (that is clearing cookies or something).
There is really nothing else I can suggest :-\ Cookies are really the only way to save information on your computer, to prevent you from having to re-log in every time you reload a page.