Sorry, CA, but you're misunderstanding.
This happens to me, as well.
I can copy and paste the right address (
http://slinging.org/forum/YaBB.pl) straight from the link you just posted or use the bookmark I have saved. Either way, I always come in not logged in. See image.
But if I click a link, in this case--Administrative, I'm automatically re-logged in with my saved details. See image 2
All I did for these examples was to click my bookmark and then click "Administrative". If I go back to the main forum now, I will stay logged in until the last forum tab is closed. The only thing I can guess might be happening is that the forum is making the check for saved username/pass AFTER everything loads. So we're being logged in, but we can't see it until we click another page.
Hope this helps.