CiviCRM Community Forums (archive)

you're logging in under a different url form than what you used to install Civi. civi stores the url. so you may have installed using "mydomain.org" and are logging in with "www.mydomain.org" -- the browser recognizes this as separate urls and stores the session separately. so when civi bumps you to the other url, you get logged out.

you need to update the two civicrm.settings.php files (if the form of the url configured in civi is not the one you want)
and apply htaccess directives to ensure people are always using that form. do a search of the forums -- the issue is detailed a number of times.

You are looking for the civicrm.settings files, there are two of them,   here's where:
/components/com_civicrm/
/administrator/components/com_civicrm/

scroll a little over half way down the files and you will see an entry
define ('CIVICRM_UF_BASEURL', 'http://mydomain.com);

On my installation, I changed this to
define ('CIVICRM_UF_BASEURL', 'http://www.mydomain.com); and things got much better.