Hi Fall-down,
Without seeing the link that you're using, there's no way to tell whether it's a valid ClickBank link (which, if you get your nickname wrong, ClickBank will not assign an affiliate cookie).
It could do with your privacy settings, whether you left the page and then went back to it without clicking through your affiliate link, and it could with your browser's privacy settings.
Also, if you're embedding the link in a page on your site (i.e. displaying a page to the visitor while requesting the ClickBank link from your page), then the cookie will not be dropped because most privacy settings don't accept cookies from third party sites. Once the visitor is not at the ClickBank product page, it's considered a third party site. Gosh I hope that makes sense. LOL
Is this problem repeated each time you click on the link? If so, I'd double check the link and make sure that you're set to accept cookies.
~ Teli
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