I notice that on the dotnetnuke.com web site and on my recent 4.3.2 installations both on a shared host and localhost that the Logins don't "stick" even though I click the "Remember Me" or equivalient check box. I'm often required to login again.
However, I notice that on this site, dnncreatvie, that the login appears to work correctly and I don't need to re-login each time I come here. What are your secret settings? What version of DNN is running here?