might be internet security is set too high OR firewall/spy ware software (i.e. spybot) has a setting somewhere...
Yup, thats what I was going to suggest. Firewalls often have something to do with it. Check your security settings in IE and also in your Firewall, there is actually an individual cookie setting in lots of firewalls, it may well be too high at the moment.
I've tried changing just about everything I can and it still does it. I have McAfee Security Centre. The only time it lets me do it is when I go to the advanced privacy options in IE and override the automatic cookie handling.
