I have a Website that has 2 types of Roles -> User, Agent and Admin. I have enabled Forms Authentication and it's working well except for one problem as stated below :

When  an authenticated "User" tries to enter  a page reserved for "Agent"s, or vice versa, he gets logged out, but what I want is that he should be sent back to his HomePage ( and be kept logged in). How shall I achieve this?

You can prevent users from accessing pages that are not contained within their roles as such: 

//You can use the below code in Page_Load() event of the page 
//You may use the same with "Admin" role and ~/AgentHome.aspx url 
if (!User.IsInRole("Agent")   
            Response.Redirect("~/AdminHome.aspx");
Let me know further Queries.

the user is not logged-out in reality...but redirected to login.aspx...

In your login page Load do like this:

protected void Page_Load(object sender, EventArgs e)
{
     if (!Page.IsPostBack)
     {
          if (Request.IsAuthenticated && !string.IsNullOrEmpty(Request.QueryString["ReturnUrl"]))
                     Response.Redirect("~/Home.aspx");
     }
}

Yes, I found out that the user was being redirected to the Login Page. 

Problem Solved.