Cwmerchon,
As Dennis said, make sure your InPrivate Browsing is not enabled. If it is enabled, you will see ?InPrivate? in the address bar. Another thing you may want to check is that the option to delete browsing history on exit is not selected. To double check this, go to tools>Internet options and under the General tab there will be a section labeled ?Browsing History? which is where you can make sure ?delete browsing history on exit? is unchecked.
Hope that helps!
Feran
Internet Explorer Outreach Team