The things that can cause this are either misconfigured IIS or something that blocks cookies like privacy guard software or sometimes I've heard of google toolbar causing problems.
In IIS make sure the Directory Security tab has both Anonoymous and Windows Integrated Security checked. If you don't have mojoPortal set as a root site but instead as a Virtual directory like localhost/mojo then make sure there is not an additional Web.config file in the folder above (which corresponds to localhost) as this could interfere.
If IIS looks ok then try to isolate the problem. Does it happen both in IE and in Firefox? Does it happen if you use a browser on a different machine?
Hope it helps,
Joe