Hmm I haven't noticed that here, I can close IE and it will still keep me logged in unless I clean out my cookies. I have my machine to always accept cookies for this site and also have this site as a trusted site as well.
Might be something with the way your machine is handleing cookides.
Edit for clarification: I can close IE and reboot the next morning and come to timo and post replys without having to log in again, it keeps me logged in unless of course i delete my cookies.