What version of IE, well if its 6.0 follow these steps:
Tools > Internet Options > Privacy > Advanced > Check the box that says "Override automatic cookie handling" > Select Accept First Party Cookies & select Block 3rd party cookies, also check the box that says "always allow session cookies."
If its a different version of IE let me know, the steps are almost the same...you might even try fiddling around with it based on the information above, or just post back with you IE version.
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