It's probably due to you having more than one process running your website. If you are running on IIS6 then you may have the app pool configured as a web garden.
DotNetNuke is not architected to run in a web garden so you'll have to switch to a single worker process.
From MSDN:
What are Web Gardens?
Q: IIS 6.0 has a feature called Web Gardens that allows you to configure Application Pools to use more than one worker process. When does IIS create the additional worker process and is there anything we need to know about before we implement web gardens?
A: When you create an application pool, you are telling IIS 6 to create a worker process in order to deliver the contents of the web sites, files and folders, that are assigned to that application pool. You can configure an application pool to launch multiple worker processes rather than a single worker process which in some circumstances can help with scalability. This is a feature called WebGardens, a smaller version of the “Web Farm” concept. Instead of having multiple computers delivering identical content (a web farm), you have a single computer with multiple processes delivering the same content.
When you configure an IIS 6 application pool as a web garden, you simply indicate that it should run more than one worker process in “Maximum number of worker processes” setting on the Performance tab of the Application Pool properties. When set to a value greater than 1, each request will launch a new instance of a worker process up to the maximum number of processes you designate. Subsequent requests will be sent in a round robin fashion to the worker processes.
Web gardens can be quite useful in a situation where you have an application that is resource constrained in some way. For example, if you have a slow connection to a database, you can potentially increase throughput for users by having more than one worker process, thereby increasing the number of connections to the database.
While in some cases, the use of Web Gardens can be quite helpful; however, be aware that session information in each worker process is unique. Because requests are routed to the application pool worker processes in a round-robin fashion, Web Gardens are not likely to be useful in application where session information is stored in process.
In a few situations, having multiple worker processes running the same application creates resource contention. For example, if your worker processes are all attempting to log information to a log file or use a resource and that usage was not designed for multiple, simultaneous access, then you may have contention issues.
If these conditions do not apply, then Web Gardens are one of those features that may be exactly what you need and can be a real benefit.