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1. Select Tools -> Internet Options.
2. Open the "Privacy"
tab.
4. In the "Settings" area:
To enable cookies move the
slider bar to Medium-High or Medium. Learn more about cookies settings
Also you can enable cookies on a per-site basis. To enable cookies on a per-site
basis, click "Sites" button, enter website url and select if you want to Allow
or Block cookies from this site.
Note: "Sites" button is disabled if you
move the slider to Accept All Cookies or Block All Cookies.
If you select
Accept All Cookies or Block All Cookies, 'Enable cookies on a per-site basis'
rules have higher priority than privacy preferences you set with the slider
unless you move the slider to Accept All Cookies or Block All Cookies. If you
select Accept All Cookies or Block All Cookies per-site rules will be
ignored.
5. Click OK.

If
this does not work try this.
In IE7 &
IE8, click on:
'Tools' >
'Options' > 'Privacy' > 'Advanced' > Override automatic
cookie handling
Allow First-party
cookies and block Third-party cookies. First-party cookies are set
by the web site you are actually visiting and some won't work without
cookies enabled. Third-party cookies are set by e.g. advertisers
on that web site, these are the ones you particularly don't want.

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