The website doesn't know you've still got your browser window open. As far as it's concerned, it's given you the page and it doesn't know any more than that. Hence the need for cookies! The only reason that a website 'knows' to log you out when you've closed your browser window is because when you revisit it, you have a different 'session id'.
Therefore, in order to keep the 'Who's Online' list 'up to date' and prevent huge complicated database problems, the website presumes that after x amount of inactivity (can't remember how much exacrly on this site) that you are no longer there and so closes the session.
Basically, the website doesn't know whether your browser has closed or not. The only way to keep the website knowing that you are still there is to put it on a page such as who's online, which refreshes every minute or so and so keeps the connection to the server.
Hope that's fairly clear - can't answer your question without getting a bit technical I'm afraid!
Ollie
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