It should work exactly like you describe it.

There are some reasons why it dosen't work everywhere.

1. You click on "log Odud out" (logout) - this erases your cookie. Bad move.
2. You use the Internet Junkbuster or another anonymizing proxy that blocks cookies for you.
3. You have set cookies off in your browser.
4. You think you have roaming Netscape/IE profiles that wander with you whereever you login, but you don't (or your admin screwed that up).

You can check for those things by inspecting your cookie file (manually, using less or Explorer, depending on what browser you use) and checking your browser settings. You could also write up a small LWP script that makes a request through your usual proxy settings and checks whether there is a cookie returned or not.