Basically, you'd need to have a cookie set for both
http://www.atforumz.com/ and for
http://atforumz.com as your browser will see them separately for some reason. If someone links to a thread without the www from a thread you're viewing with the www in the address, then it's as if you're coming at the site from a different address and your browser won't keep you logged in. Similarly, arriving at the site from the direct IP address.
It's just the way it is - I'm sure there's a wonderful long technical reason behind it, but in short, the three different address you can access the site by will be treated as three different sites each needing you to log in even if you're logged into one of the others.