This can happen for a few different reasons.
The most common reason is that your browser is set to block third-party cookies. Change this setting to Allow third-party cookies.
Another reason is that you are using Incognito Mode/Private Browsing Mode. Turn this off when using our website to save cookies.
A third reason would be that you are using a different browser every time you log in to your account. Stick to one browser, preferably Google Chrome.