I have a similar problem as stated in http://stackoverflow.com/questions/389456/cookie-blocked-not-saved-in-iframe-in-internet-explorer, I tried the approaches suggested in the several solutions suggested. But I still could not save cookies from a website of one domain such as example.com (as we have used this name in the original question in the above url), contained in an IFRAME of another domain such as anotherdomain.net.
Initially I followed the suggested solution tried the correct approach : created a P3P policy (following similar steps as described in the url above). I could not get rid of the evil eye, when I clicked on it, it listed my example.com was blocked and I was able to click on the summary button to see my P3P policy, which shows my following of the instruction is correct.
So I tried to remove the P3P policy and simply snap in some tags to try to at least get my IE to save cookies first, in my development server. I was trying to see if I can at least get it to work first and then try to figure out how to have IE save my cookies without providing false info about my website. I have tried this as one member (Helo) has pointed out it works in his internal website.
P3P: CP="NOI ADM DEV COM NAV OUR STP" and also the original poster (also the problem solver, Piskvor) tags P3P: CP="IDC DSP COR IVAi IVDi OUR TST". As I sniff my http packet, these headers are there. But I couldn't get rid of the evil eye and each time, it listed my site as being blocked. And needless to say, the info I entered wasn't saved, since the cookies couldn't be saved.
As I opened up my IE privacy policy to allow all cookies (from medium), the problem is solved. So we know it is a cookies problem, except simply providing a P3P Policy for the website inside the iframe, or trying to include Compact Policy tags in my header did not work. Anyone has any other suggestion? I can provide more details about my approach, just don't want the question to start out being too overwhelming.