You might check to make sure that you do not have browsing history set to be deleted on exit to see if that's related, or if some tweaking program that you may have installed is set to clear them at shut down or on exit.
Internet Explorer - Delete browsing history on exit
As a test, you might create a new administrator account, log on to it, and see if it behaves the same in that account. This will let you know if it's a system wide issue, or just a issue in your original account.