This is due to a browser setting, to not allow third party cookies. You need to allow third party cookies so the LinkDeli bookmarklet, running on the shop site, can access your session data, stored as LinkDeli cookies.
For chrome, to allow third party cookies, you can go to settings:
then, click on the advanced menu at the very bottom of the page:
click on "content settings":
and then on "cookies":
On the following page, make sure that the "Block third-party cookies" option is UNCHECKED
And that's it!
and on the following screen:
(1) Select "privacy"
(2) Select "use custom settings for history" from the drop down menu
(3) Select "Accept cookies from sites" and Always on the "third party cookies" option.
You should now be able to open the LinkDeli bookmarklet normally!