You'll have to adjust your security settings for the "restricted sites zone" to enable cookies before "privacy manager" will get a chance to do anything with them. Go to Tools, Internet Options, Security, Restricted Sites, Custom Level, Userdata persistence, Enable (last item under "Miscellaneous", just above "Scripting"). Obvious what that meant, wasn't it? ;) And pressing F1 for "help" is just so, um, well, unhelpful.

Update: My testing was not on IE6. ): I don't have it handy but crazyinsomniac informs me that IE5.5 has a separate "cookies" setting such that "Userdata persistence" doesn't affect cookies. So the fixes are still roughly the same, just the details are different (and more obvious) in IE6. (:

Alternately, you can instead add perlmonks to "Trusted sites" and then set a custom security level to disable JavaScript for that security zone.

        - tye (but my friends call me "Tye")