Todays W7 updates seem to break IE9 (for me at least) when you go to delete the browsing history. Thereafter no login info is retained when IE9 is closed and reopened. It's as if all cookies and data are wiped. All settings are correct... this is something I have done countless times.
By using an Acronis image I can determine the problem occurs when the cummulative update KB2722913 is applied. Uninstall the update and the issue resolves.