Had the same problem. Somewhere in the IE settings is a choice of retaining cookies from favourite sites.
Don't ask me where. Totally confused at present since windows has given me IE10 without consultation and it keeps locking up and crapping itself.
Think it's in the internet options.
Mine is set to delete all cookies on shutdown but the little box allows for those favourites I mentioned to be retained.
Brock will know where it is.
