Well, I figured I’d put in a helpfully named post to solve the problem that other folks have reported. Mahalo incorrectly lists only the obvious solution (make sure these settings are true before you implement the solution below)
It is NOT a settings issue, it is a bug in Firefox (I’m using various versions of 3.x, currently 3.0.11).
Symptoms: Regardless of your security settings, all cookies get deleted every time Firefox is closed.
Cause: The cookies.sqlite database has become corrupted. (older versions of FF use a cookies.txt file)
Solution: Close Firefox, find cookies.sqlite and delete it (in my case, in C:\Users\[username]\AppData\Roaming\Mozilla\Firefox\Profiles\[some obscure name]\cookies.sqlite under Windows Vista x64, SP2).