Make sure cookies are enabled in your browser? It sounds like it's logging you in, but not remembering who you are when you try to take the next step, and is throwing you back to the login to re-authenticate. So, double-check to see that your browser has cookies enabled.
In regards to not storing sessions, have you enabled the server's PHP to write sessions? If not, the server might not be saving the information and explain the problem.
The PHP server needs a writable directory where it can save the information from your session to a file so that the server can retreive the information. This directory should NOT be in the Document Root of the server. (Important.) Or else, unscrupulous folks could access the directory and retrieve the session data,
This is more common on Windows servers, I find, because sysadmins are unaware they have to do it, it's not done automatically, and it's not immediately apparent in the install documentation.
This isn't a problem with Plogger, at least, not the one I described. It's a problem with not enabling PHP's session writing.
There's no fix I know other than to remove the sessions and use cookies instead. A session really is a server-side cookie (tmk); PHP gives the browser a cookie with a PHP Session ID and uses that to refer to the file on the server side.
However, as of now, I don't know of anyone working on this. I would suggest instead checking that there is a writable session directory for PHP because it would be both the simplest and best solution.