IE has some bugs related to cookies. More than once I've nearly torn my hair out because cookies wouldn't set in IE. Usually deleting temporary internet files will fix the problem. Also make sure your IE has all the updates, its possible they fixed some of the bugs and it can never hurt in terms of security!

Hope that helps!
/breathlessly awaiting the day when everyone is using Firefox and I can tell people with that crap ridden 'browser' to take a hike! :)