When you get that message (or immediately before), does the system show you as logged in?

-- Does it show this in the upper right corner of the page?

Welcome, Squiggle328.
You last visited: ...

-- Does it show more or less the current time at the bottom of the page? If it says "Welcome" at the top but that page is an hour or more old, you may have gotten logged out in the meantime.

When you log in, do you type in your password by hand and check the "Remember me" box? My browser does offer to track my passwords for me but when I let it, there's likely to be confusion and conflict -- especially if I change a password at the site but my browser still has the old one.