I've had some issues like this with my Bold with some firmware releases. Here is what I did. (keep in mind, I'm ASSuming you are talking about pages like this forum etc)
In the browser, options, browser configuration, set browser identification to IE instead of the default BB. When the page loads, you should get that checkbox with the save my info. You can then switch back to BB mode and it will have saved the cookie.
If you are referring to a form fill in like windows/IE...well then I think you're SOL