It is designed to use cookies, but guests should be able to see other pages nonetheless, so there needs to be a slight change in postlist.inc.php.
Depending on your version, it should be roughly around line 204 of scripts/postlist.inc.php
$page = 1;
$_SESSION['myprefs']['Board'] = $Board;
Change that to:
if (!$page) $page = 1;
$_SESSION['myprefs']['Board'] = $Board;