You might have your privacy setting for sites on High which might be stopping the sites setting a cookie.
In IE go to TOOLS>INTERNET OPTIONS>PRIVACY to check your settings.
If you wish to keep the setting on High, when you go to a site that you use often copy the address from the address bar, then go back to the privacy settings panel click on the button "SITES" and paste the address into the bit marked "Address of website" and click on "Allow".
This will allow you access to sites that you visit regulary and block others from setting cookies.
Hope this helps