It seems that my users can only login through the main multisite of my Network. When they sign up they can login to their sub domain site that they have just created no problem but as soon as they logout they cannot go back in again unless it is first through the main multisite.
Sorry I am updating this ticket as I go because I just noticed if I disable Anti Splog it does work. I guess this ticket should now be moved to the Anti Splog section.
Does anyone know which Anti Splog setting would cause this behaviour?