Have you noticed this stuff  using google applications like www.orkut.com , www.google.com , www.gmail.com , www.google.com/analytics
 
e.g. using IE 6

1. open www.orkut.com login to it

2. open new tab open www.google.com you will see your signed in status at top right corner.

3. Click log out from www.google.com, you will get loged out

4. try to access the links inside www.orkut.com you will be redirected to login

5. go back to google.

6. Login to google Notice once you loged in to google obeserve orkut signin page is automatically redirecting you to authorised zone.

I think it can be done using cookies where you should continuosely check wheather cookie is expired / not based on that do
auto login logout.

anybuddy has any idea how they are doing ? or any other way to acheve it ?

ASP.net single sign on triks and tips can be found at http://blogs.neudesic.com/blogs/michael_morozov/archive/2006/03/17/72.aspx

-Satalaj