Internet Explorer shines yet again… I had to write a login sync for two sites (Single sign-on).  So that you can log into one site and (behind the scenes) get logged into the other site.  I chose to do this with iframes and all was happy.  Until I had to verify that it worked in IE.  IE chooses to dismiss cookies set/removed through the iframe.  Setting a header on the page that creates/deletes the cookies will remedy this, though. 

Add this to your pages that create/delete the cookies:

HttpContext.Current.Response.AddHeader("p3p", "CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"");

It creates a p3p "compact policy" that gets sent to the client. This convinces IE to accept the cookie in some magical way…

Via articles on Asp.Net Resources and SalesForce