Browser issue

So I decided to try out a phone with the Android OS on it so I picked up a Galaxy S. There are a lot of good features I like, but there are a few things that are really bugging me. The main one is the browser, everytime I leave a site that I have to log into it signs me out, so its making me sign back in everytime I come back. I have checked the browser settings and cookies are turned on, so I don't know what the deal is. Is this a normal thing on these phones, and if so is there a way to fix it? I have tried other browsers, opera and dolphin do the same thing, I tried one called skyfire I think it was, it didn't do it, but it was just painfully slow, the other browsers are twice as fast. The email program and battery life sucks too, but I can live with that since it does work, but the browser thing is driving me crazy, and since I use the email and internet more than anything else on my phones, I'm having second thoughts on this thing. I've got 30 days to try it and still be able to return it, so I've got some time to experiment, but any suggestions would be appreciated.

Nope, not the site, works just fine on my iPhone, and I checked with other Android users on the forums and they had no issues.  I never actually closed the browser, it always stayed running. I tested the display phone at the store, did the same thing. Then I tried 2 different Android OS phones and they worked how they were suppose to, even after shutting down the phone. Between the browser thing, the ridiculously awful email program, and horrible battery life (had to charge it 4 times in 2 days and that was with moderate use), the POS went back, the only thing I'm going to miss is the $35 I'm out from the restocking fee..