If you're using cookies in your application, you may be using temporary and permanent cookies. Temporary cookies are cookies that are created without an expiration date, using code like this:
Response.Cookies("MyCookie") = "My Value"
This cookie, when the browser is shut down, goes away. If you need a permanent cookie for a saved login, for instance, you can set the Expires property like so:
Response.Cookies("MyCookie") = "My Value"
Response.Cookies("MyCookie").Expires = DateAdd("d", 30, Date)
This will give the cookie an expiration date of 30 days into the future. In this case, the cookie will be written to your browser's cookie directory/storage area.