K... I will update this post here later today.
The problem is not that the cookie expires when you close the browser. That's a good thing.
Nardo: To logon as another user, you must first logout of your current user.
Jcwren: That's the problem right there. After you logged on, you got "Incorrect Logon Information"?
If so, that is what is wrong. Under several versions of Internet Explorer, the cookie never gets set.
Under Netscape, Lynx, etc. the 2 cookies DO get set but IE does not seem to take the cookies.
In the code, I have the path set to '/' and domain set to 'TheGamesPage.virtualave.net'

Monks with any version of IE: please try the address below and tell me if the cookies are set properly:
The cookie test