We discuss general login issues here but this is most likely to be a problem with your local browser settings, specifically whether it accepts cookies or not.
To do this in the Chrome browser (our recommended browser), you should follow these instructions:
In Internet Explorer, to enable cookies your security settings will need to be set to Medium rather than Medium High (instructions for that are here). If you are using an Ipad/Iphone, there are some instructions on how to turn on cookies here. For other browsers, please refer to your browser settings.