You're right, it is a cookie problem. This should help. Make sure these are the current settings.
If your URL is
http://www.example.com, your settings should be:
Cookie Domain: .example.com
Cookie Path: /
If your URL is
http://www.example.com/myforum, your settings should be:
Cookie Domain: .example.com
Cookie Path: /myforum/
If your URL is
http://subdomain.example.com/wow, your settings should be:
Cookie Domain: .subdomain.example.com OR .example.com
Cookie Path: /wow/
How do I change them? Keep re-logging in and try via ACP, or if worse comes to worse you'll just need to reinstall and use correct settings from the install.