Do you block cookies? It may be that your security settings are too high, and no info is stored. If you're using Internet Explorer 5/6, go tools, internet options, privacy advanced. Override auto handlighg, block first & third party and allow session cookies.
If that doesn't work then go to the site and add somthing to the basket, the page will refresh. Look at the bottom bar of internet explorer and you'll see an eye symbol with a block symbol if cookies have been blocked. Double click it and select the entries that correspond to the site, right click them, select always allow, and ok it. Refresh the page and try shopping again.
Hope that solves the problem.