If I remove perlmonks from my list of 'restricted sites' in MSIE (it's in there only to disable JavaScript), I get a dialog box that shows the value of my perlmonks cookie, and warns me that it could just as easily have been stored somewhere, and my account stolen.

Looking at the source, his picture of a jelly donut has an onload handler that pops up the alert box.

Is your browser set to disable JavaScript at some level? I wonder if it's a browser-specific issue. I'll check a few others and post an update to my original node above with findings.