I have two copies of IE7, same exact security settings and same exact builds. Two different machines, both running WinXP. In my application, my cookie headers are being properly sent to the server on one version of IE. No other cookies are being sent in another version.
What are some points to troubleshoot in this scenario?
you may want to get something like wireshark to see what is being sent across the line. FIrebug has some net utilities like this but your problem seems specific to IE. Still, trying another browser couldn't hurt in trying to troubleshoot this issue.
Other items to look for are the advanced properties of the IE installation and the zone that the website is in.
be careful what links you are accessing. It took me almost a day to discover why the same browser sometimes sent the session cookies, and sometimes it didn't.
Accessing the page via http://www.example.com will create different cookies than on http://example.com (without the 'www') because the browser sees them as two different access points:)
Also be careful about your browsers settings..you should make sure they are identical.
Try Fiddler to trace what's happening, It's more appropriate (and simpler) than Wireshark for this purpose.