Cookies can be handled seperately in IE6, rather than wrapped into the security zones (as they were in IE5).
You might check Tools-->Internet_Options-->Privacy-->Advanced.
There are settings there for handling Third Party and First Party cookies, overriding default cookie behavior and allowing all session cookies.
Perhaps they've overriden the default settings?

Update:
you might find some good information in this thread.

~monk d4vis
#!/usr/bin/fnord