About the cookies again, all settings seem to be the way they are supposed to be on the server side. So it very much looks like any problems that exist are on the client side and unfortunately it's hard to give good answers. To those who still have problems with the cookies, try another browser to see if you have more luck. I have personally had a lot of problems with cookies in IE. If you want to give them a test run, I can suggest
Opera which is considered to be a "hip" browser lately, similar in functionality and rendering to IE, but probably faster. And you also have
Mozilla making waves lately, no it's not an ancient version of Netscape, it's a completely different development project and as of now seems to be much more successful.