Mac Keeps Logging off!

Hey guys!

I've been having this problem for a while now but it has't caused a great stir until now.

I have a Macbook Pro and after it follows a period of inactivity, it closes all applications and logs off even if I haven't put the display to sleep.

I have gone into 'Energy Saving' settings in system preferences and configured it to 'Never' turn the display off unless I tell it to, I have also checked the box that says "Prevent computer from from sleeping automatically when the display is off"

However, the mac still logs itself off.

It's a real problem when I'm downloading large items like games, as when I leave the Mac for a few hours to make the download; it will close all applications and log off.

Thanks in Advance if you can help!!!