Switching b/w different Browsers - Login Issue

I am currently using 2.5 module and component. I notice when i login via connect in IE 8 and then close the window and try to login to firefox, i am unable to. The dialog box just disappears and i am not logged into the site. I need to click refresh on the browser then click connect again and only then i am loggged in. Similarily if i am in firefox and login via connect, then close the browser, then try to login to IE i get the same error...I enter the credentials then the dialog box just diasppears and i am not logged to the site. Loggin in via joomla works when switching so it must be the jfbconnect component.

I also noticed that when this diablog box disappears that i am actually logged into facebook because if go over to facebook.com it logs me in.

I know this might be a session issue and that closing the browser might not be logging me off.

Can you please guide me as to where in the code to look to try and fix this issue?
Or where I can add code to close the session?