When you log in, except for some few browser types, the page shows you as having not logged in till you do it again.
We'll keep an eye out for ways to fix this. Mean time, just ignore it. As soon as you load another page, it'll properly show you as logged in.
Oh, and you don't have to log in at all to read posts. When you post if you enter a valid username/password combination that will automagically log you in. If you're logged in and you want to post anonymously, just log out and then post. Of course, moderators will still be able to see your reported IP address (usually your firewall or proxy address) but not your acual identity.