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This has to do with your firewall soft- or hardware (probably the software). This is blocking the HTTP_HEADER information sent to the cookie. This is the technical talk for how XOOPS recognises if you're logged in or not.
The solution is simple: configure your firewall software to allow cookie information being sent from your website
Do a search for firewall issues on these forums if you want more information, there's loads of posts explaining this in greater detail.
Herko