Internet Explorer gives lower level of trust to IFRAME pages (IE calls this “third-party” content). If the page inside the IFRAME doesn’t have a Privacy Policy, its cookies are blocked.
However if you add a header like this (in PHP) it will work:
header(‘P3P:CP=”NOI CURa ADMa DEVa TAIa OUR BUS IND UNI COM NAV INT”‘);
This sets a P3P header with a privacy policy that is acceptable to IE, and the cookies will be accepted.
A tool for generating policy privacy can be downloaded here.