To enable cookies when using I.E. 7 or 8:
  1. Open an Internet window and click Tools > Internet Options
  2. Click the Privacy tab > Advanced
  3. In Advanced Privacy Settings click "Override automatic cookie handling"
    then choose to click either "Prompt" (both) or "Always allow session
    cookies.

 
More information:
Internet Explorer 7.x
1.Select Tools.
2.Select Internet Options.
3.Select the Privacy tab.
4.Move the slider to Low or Medium.
5.Click on OK.

Internet Explorer 6.x
1.Click on Tools.
2.Select Internet Options.
3.Click on the Privacy tab.
4.Move the slider until "Accept all cookies" displays.
5.Click on OK.