This is what one would expect when heating a concentrated protein solution such as serum. The proteins (mostly serum albumin) become denatured (cooked) and coagulate, just like when you boil and egg. If you include a sufficient concentration of detergent such as SDS or a strong chaotrope such as 6 M urea or guanidine-HCl, the protein will remain in solution.

If you are going to run a Western blot on the samples to detect somethjing other than albumin, you should be aware that the extremely high concentration of albumin relative to minor proteins will cause problems. It is recommended to first reduce the albumin content by using an albumin depletion kit.