Yes, it;s called a "time-out" and should be like that unless you "log-out"... You probably deleted the cookie after the 'session' (firefox can get rid of it if you have only for session and close firefox).
Post here again if you have anymore problems.
Alex should close this topic just for that reply.
Any problems should be emailed to the 'admin'. Email takes approx 5 mins to reach its destination (actually - it's faster but I'll stick with 5 mins for a save time).