Your browsing program may not be able to store cookies. Boards need to be able to store cookie information on your machine in order to let you stay logged in.
Check your settings (try under "security") and see if you're blocking all cookies or have a high protection against them. Depends on your browser.
Also, some browsers are set to get rid of temporary cookies quickly, so if you're not selecting "Remember Me" upon login, you'll be logged out quite often. Select "Remember me" and/or check your browser properties to solve the problem.
If the problem continues, do everything that has been suggested again, and if it still happens after that commit suicide. [/bad joke]