Local Intranet Zone
By default, the Local Intranet zone
contains all network connections that
were established by using a Universal
Naming Convention (UNC) path, and Web
sites that bypass the proxy server or
have names that do not include periods
(for example, http://local), as long
as they are not assigned to either the
Restricted Sites or Trusted Sites
zone. The default security level for
the Local Intranet zone is set to
Medium (Internet Explorer 4) or
Medium-low (Internet Explorer 5 and
6). Be aware that when you access a
local area network (LAN) or an
intranet share, or an intranet Web
site by using an Internet Protocol
(IP) address or by using a fully
qualified domain name (FQDN), the
share or Web site is identified as
being in the Internet zone instead of
in the Local intranet zone. For more
information about this issue, click
the following article number to view
the article in the Microsoft Knowledge
Base: 303650
(http://support.microsoft.com/kb/303650/
) Intranet site is identified as an
Internet site when you use an FQDN or
an IP address
Taken from here:
http://support.microsoft.com/kb/174360
I've not had an issue with cookies in the past, but maybe your IE security settings are non-standard.