How often do you delete cookies, history and files under Tools - Internet Options?
What is the frequencey for auto dump ? As in - How many days to keep history? This is a small dialog box that you can change the numbers in. This will also affect the logging protocols.
Do you have an Antivirus suite that dumps cookies everytime you run it, and what frequency do you run that software.
Are you running Spy-Bot and Ad-Aware Professional SE? They will also see these cookies as probable threats. I have had to exclude http://www.farmallcub.com
and a couple other sites from the Automatic cleansing of these cookies by these two excellent programs.
Those are 4 things right off the bat that pop into my head about what could be causing this. It is probably some tiny little insignificant item that we just don't see easily because we are not expecting it.
Give those a check and see what heppens.