You'll want to look through your includes/config.inc.php file. Make sure the SESSION_PATH is set properly. There isn't a switch for this in the control panel, so you'll need to set this manually if it's not correct. It should be whatever you have for the FULL_PATH setting with /sessions as the end.
Also make sure the FULL_URL is set properly. It could be that this is set to just
http://yourdomain.com instead of
http://www.yourdomain.com which would cause some cookie issues.
