I don't have any specific suggestions at this time, but the first place to start is download and install Fiddler and use it to monitor the request/response to first determine whether the cookie is transferring between the server and Internet Explorer correctly.
As well, you may want to go to Tools > Internet Options... > Privacy tab and verify that Sites... does not have your site Blocked. You may also want to consider temporarily setting the level to Accept All Cookies and see if that makes a difference.
Grant Wagner
2009-08-12 14:12:26