Load Balancer problems

Hi All,
I have problems with Director, I have installed 2 instances of an app and 
I run the load balancer, the program is working since I can access 
the /status context and I can see the hits to my 2 instances, the problem 
is that when I login to my app, the app always sends me back to the login 
page. When I check the app to see who's logged in, I appear in the list, 
but it seems that the cookies are not being sent back to me and I can no 
longer past this point, if I access the app without passing through the 
load balancer averything works fine, any tips regarding this problem?
Thanks.
Arturo Morales.