When you visit the portal you're probably visiting 'www.yourforums.com'. When you bounce over to the forums you're probably moving to 'www.yourforums.com/forums', but when you hit the link you installed to go back to the portal, you're probably going to 'yourforums.com'.
I had the same problem. You have to make up your mind on whether or not to use links with the 'www' prefix. I don't know why it makes a difference, but on my forums you can be logged into two different accounts at the same time with the same browser, you just have to add or remove the 'www' to switch between them.
Funny quirk that I think depends on server config, but I've never bothered to look. I just fixed all my links on the site to be without the 'www', and no one complains of problems anymore.To solve the cookie problem for www., change the Cookie Domain in your vBulletin Options to '.myboard.com' (mind the preceding dot).