If the FileUpload is in an UpdatePanel it will be cleared on each ajax-postback. You can use multiple UpdatePanels around the FileUpload control and keep the FileUpload out of them. Also make sure that the button that triggers the actual upload does a real postback, not an asyncpostback. Do this by adding the button to the PostbackTrigger of it's UpdatePanel or by taking it out of the UpdatePanel.
<asp:FileUpload ID="FileUpload1" runat="server" />
<asp:UpdatePanel ID="UpdatePanel2" runat="server">
<ContentTemplate>
<asp:TextBox ID="TextBox2" runat="server" />
<asp:Button ID="Submit" runat="server" Text="Submit" />
</ContentTemplate>
<Triggers>
<asp:PostBackTrigger ControlID="Submit" />
</Triggers>
</asp:UpdatePanel>
You can also use an AsyncFileUpload control from the Asp.net Ajax Toolkit, it works inside an UpdatePanel but it is a little harder to get this to work.