Authentication is not persistent behind some firewalls

After logging in to xwiki, when I try to access the options on the menu (Edit for instance) or click on the Administration link, I am prompted again to input Username and password. This happens on and on and I am unable to change anything on my xwiki. I stopped the firewall program and the Windows firewall and the problem seems to be solved. It seems that there is a problem with the cookies that are blocked by the firewall although I deleted any rule regarding cookies from my firewall.