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Your Web Server Does Not properly handles Sessions.What are sessions?
When you open a web site in a browser, the web server begins a communication with your browser. After the connection is established a token of data is written to server's memory which uniquely identifies you among other clients. This token has a unique ID and may hold an additional information supplied by an application. This is called a Session. ASP application is able to read/write data to the session effectively controlling user logon state.
When your application is hosted on a Load Balanced or Clustered servers farm, each time you load a new page in a browser, you may be attached to a different server, which is not aware about Session you have established prior. Therefore, you're effectively getting logged out because there is no logon information available to validate you as being logged on.
The only way to overcome this behavior is to move your web site/application to a stand-alone shared server and make sure the server is properly handles sessions.