This will work (tested in latest Chrome, IE7 and IE10). Sets a cookie on focus remembering the last focused element, if not, it defaults to the first. It relies on jquery.cookie.js (usage explained in this SO answer). Here is the full HTML+JS source of a minimal working example. Consider changing the cookie name and the input selector (currently 'input'):
<!doctype html>
<html>
<head>
    <title>focus test</title>
    <meta charset="utf-8" />
    <script type="text/javascript" src="//ajax.googleapis.com/ajax/libs/jquery/1.10.1/jquery.min.js"></script>
    <script type="text/javascript" src="jquery.cookie.js"></script>
    <script type="text/javascript">
        $(document).ready(function(){
            var $input = $('input'), // get all the inputs
                cookieName = 'lastInputFocusIndex', // for consistency
                lastIndex = $.cookie(cookieName) || 0; // get the last known index, otherwise default to zero
            $input.on('focus',function(){ // when any of the selected inputs are focused
                if ( $(this).attr('type') !== 'submit' ) {
                    $.cookie(cookieName,$input.index(this)); // get their index in the $input list and store it
                }
            });
            $input.eq(lastIndex).focus(); // when the page loads, auto focus on the last known index (or the default of 0)
        });
    </script>
</head>
<body>
<form method="get" action="">
    <p><input type="text" name="first" /></p>
    <p><input type="text" name="second" /></p>
    <p><input type="text" name="third" /></p>
    <p><input type="submit" value="Go" /></p>
</form>
</body>
</html>
Alternatively, you could write your own raw cookies instead of using the cookie helper jQuery plugin; I used it to simplify things.