When you visit LU, the MSN system tries to identify your machine before you log in
If all your cookies are cleared I can only think of 2 things..
1) Maybe MSN identify your machine because of it's IP address
2) Maybe there are cookies somewhere else on your machine that it picks up
If it's 1, then maybe you're on a network? and maybe it somehow knows only you have that IP address?
If it's 2, then maybe there's a cookie stored somewhere on your machine that isn't deleted when you clear cookies