It is your session information.
in your web config file you have something like this:
<sessionState mode="InProc" cookieless="UseUri" timeout="60">
or
<sessionState mode="InProc" cookieless="AutoDetect" timeout="60">
(the important part for your question is cookieless part)
if you do not want that just change this part cookieless="UseUri" to something like cookieless="UseCookies"
Note that by doing this, your clients should accept cookies.
also take a look at this one:
http://msdn.microsoft.com/en-us/library/aa479315.aspx[
^]
hope this can help.