You can hack this with javascript. Below is some JS that will read the umbracoMemberId cookie and rewrite it as a session cookie meaning the user gets logged off when they close their browser. Note may not work on all browsers.
Code:
<script type="text/javascript">
<!--
function ReadCookie(cookieName) {
var theCookie=""+document.cookie;
var ind=theCookie.indexOf(cookieName);
if (ind==-1 || cookieName=="") return "";
var ind1=theCookie.indexOf(';',ind);
if (ind1==-1) ind1=theCookie.length;
return unescape(theCookie.substring(ind+cookieName.length+1,ind1));
}
document.cookie = "umbracoMemberId="+ReadCookie('umbracoMemberId')+";-10;path=/";
-->
</script>