It happens when you have checked "Delete browsing history on exit", in browser settings.
Kindly perform the following steps (if you are using Internet Explorer.)
1.) Launch Internet Explorer.
2.) Go to Tools>Internet Options
3.) In "General" tab uncheck the Check box "Delete brosing history on exit."
4.) Click Ok.
Now your broser history won't get feleted on each exit.
Kindly get back the result if you need any more assistance.
Thank you :-)
ISHA KRISHNA KP