User not logged in after successful login

When logging in for the first time (after browser launch) and not clicking one of the links on the successful login page (generated by ucp.php), but waiting for the automatic redirect the user is taken back to the index page where he is presented with the same login queries again as though this was the first time they had visited the site (the status line shows the user as not logged in). If they login a second time then everything works fine, the auto redirect from the success page returns to the active forum as it should.

This only happens on the first login after the browser is started and the user does not click on one of the links, but uses the auto redirect. Once the user has logged in the second time then they can log in and out at will (without closing the browser) and the auto redirects work fine.