I've had a lot of trouble, as have many, with keeping logged on to sites since installing IE7. Had hoped that the recent CCleaner update would fix that. It didn't - on the day. But a couple of days later, I accidentally left "delete index dat files" ticked, following an analysis, and deleted the lot. And stayed logged on. Restarted. Same deal. Repeated process, including one full powering-off, turning on, all OK.
It's healed itself!
Darned if I know why. But I'm now staying logged on to all sites I'd wanted to, and able to delete the .dat files. Double checked this with index .dat suite, it confirms there are none to display.

hehe

Is it possible that the change occurred after a MS update? A shot in the dark.

Possible but unlikely. I've got auto updates set to "let me know but don't download or install". The only MS based update that's occurred was to the MBSA, and I ran that (which involves an auto-update if there is one) after this came right.