IE6 has a new feature called "compact policies" which follow the specifications of the "Platform for Privacy Preferences (P3P) Project" developed by the World Wide Web Consortium (W3C). This feature causes IE6 to process cookies based on these policies. What this means is that your web site will need to have a Policy File which contains the compact policies which, in turn, will be processed by IE 6 to determine how it will handle the cookie you're setting... Here is the link to the documentation in microsoft.com regarding this matter
P3P