You can find information on P3P at the P3P page:

http://www.w3.org/P3P/p3pfaq.html

Basically, it is a file that is machine readable in a standard format so that users can set their browsers up and their browsers can take care of the rest. However, it is just a recommendation at the moment, so I really doubt that your problem is that you don't have a P3P file on your server. I'd look for other causes.

Ethereal, a network packet analyzer has at times proven invaluable when I've had to work on stuff like this. I'd start there and make sure that the cookie you think is being sent is actually being sent. Check for stuff like expiration and domain... Delete cookie files from the temp folder where they sit and try getting the page to work. Strip the cookie sending bit out and try to simplify it. I can almost guarantee you it is going to be something goofy simple that is easily overlooked.