On mine there are four choices for cookies;
Allow on sight I'm on
Allow on sights I visit
Shouldn't I always block?
No, then it will do what's happening.
If you accidental mistype a lot of websites, then option 2
If you can get the website name right and are willing to at least proof read it before you click enter, then option 3
Alan is right. If you block all of the cookies then you will get the behavior that you are not wanting. You can block third party cookies if you have that option. I do that on all my browsers. I was thinking there is an option to delete cookies, history etc on closing the browser that would be the option that would cause your behavior as well.