Please do a search on Drupal.org before posting here.
I did, but it didn't bring to solutions.
Yes, that is what wie suggest. Look at the .htaccess file.
php_value session.cookie_lifetime 2000000
for apache 2 (most hosts will use that) you need to edit this .htaccess a little. For older apache the "stay logged in" feature works out of the box in Drupal.
I use apache 2 and I've edited the file replacing the line with the apache module. Still the sessions aren't saved.
They are if I go to the site after a few minutes, but if I return after a few hours the cookie doesn't seem to work.
Also, I had to edit the php.ini directly because the .htaccess file seems completely ignored. Both before and after the edit.
I guess the problem is somewhere else because by doing what was explained in the message didn't solve the problem and searching the drupal site also brought to nothing useful.
-HRose / Abalieno