It can be either a virus, an incorrect setting or a security program.
If you use internet explorer, you should go to Tools > Options > Browsing history [Settings] and look for Days to keep pages in history. You could also uncheck the Delete browsing history on exit checkbox in the previous panel (if it's cheked of course).
If that doesn't help, switching the browser definetly would (unless you have some cover-your-tracks software installed).
