It just uses a cookie but it doesn't keep you logged in, it should just automatically log you back in next time you arrive at the site.
zonealarm might be the problem - try shutting it down, logging in and checking the "remember me" box. Then it'll right the cookie and you can start ZA again - at least that way you'll know if ZA is the problem.....but then do you really want to be connected unfirewallled, even for a short space of time?
