Typically this happens due to cookies.
I have not been able to track down all of the causes though, and it appears the safer way to go is to include the SID in the link.... having said that v1.0.2 does not had the SID in the link but v2.0.0 will have...
Unfortuneately I am not sure I have much to help you on this one... If someone has a good fix or a list of which items to check then post in this thread... if there is anything that I haven't thought of I would be glad to consider it and add if it works...
I will check back in a few days and see if you had got this solved yet... Also post up some info on your site (IIS/Apache, versions of php, apache/IIS, MySQL... and some general server info so I can try to see if there is anything in common with some of the other reports)
Sorry,
Greg