Been happening for me for a long time now - usually there are anywhere from 2- 10 posts that I have to backtrack to. A few times there were complete pages.
One of lifes mysteries - or bad XP code.
Ya - that's it - blame Bill!
It's possible that you actually have to log out of the site, rather than just close the window, for the last post to work. The cookie might read the time of the logoff, then show any posts with a later time when you log on again.