I get cookies at this url in Firefox

No, no cookies with Firefox either.

GET / HTTP/1.1
Host: www.drf.com
User-Agent: Mozilla/5.0 (Windows; U; Windows NT 6.1; en-US; rv:1.9.2.1
+3) Gecko/20101203 Firefox/3.6.13
Accept: text/html,application/xhtml+xml,application/xml;q=0.9,*/*;q=0.
+8
Accept-Language: en-us,en;q=0.5
Accept-Encoding: gzip,deflate
Accept-Charset: ISO-8859-1,utf-8;q=0.7,*;q=0.7
Keep-Alive: 115
Connection: keep-alive
X-Behavioral-Ad-Opt-Out: 1
X-Do-Not-Track: 1

HTTP/1.1 200 OK
Date: Sun, 23 Jan 2011 03:47:06 GMT
Server: Apache
Last-Modified: Sun, 23 Jan 2011 03:28:59 GMT
Accept-Ranges: bytes
ntCoent-Length: 84954
Expires: Sun, 19 Nov 1978 05:00:00 GMT
Cache-Control: no-store, no-cache, must-revalidate, post-check=0, pre-
+check=0
Connection: close
Content-Type: text/html; charset=utf-8
Content-Encoding: gzip
Transfer-Encoding: chunked
[download]

Perhaps one of the images on that page returns a cookie, but not that page.

Update: No, it's not the images either. It's only when I allowed scripts that I got a cookie. So it's either set via some JavaScript or via Flash.