Hi,
The TypedURLs list only saves URLs typed into the Address Bar. If you're
using File> Open or Ctrl+o or clicking on a Favorite or hyperlink, they
won't end up in that list.
See: http://support.microsoft.com/default.aspx?scid=157729
The other possibility is that you have a security/privacy program running
which is clearing the list. TweakUI (a Microsoft powertoy, has that option.)
A number of other programs are available which can clear the TypedURLs list.