Iframe Cookie Issue With Internet Explorer

Question

I am developing an ASP.NET 4.0 web application in which I am trying to use an iframe to load a third party website:

  <iframe id="ifr1" src="http://newdomain.com?id=test&amp;password=123"
        width="100%" height="600px">
    </iframe> 

The newdomain.com is trying to place cookies in the browser and IE dosent like that. I have no control over the application hosted on the newdomain.com. I have read a lot of articles which talk about having a P3P information added to the header of the page which hosts the iframe. So in my application's Global.asax I have the following code:

   protected void Application_BeginRequest(object sender, EventArgs e)
    {
      HttpContext.Current.Response.AddHeader("p3p", "CP=\"IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT\"");
    }

But this doesn't work and I am really confused now. Can anyone help me with this?