The full story is that the cummulative IE9 update seems to change the way cookies and login data are handled. I asked on the MS forums and I'm constantly being told that this KB2706045 update should be present. In fact I'm being told to contact MS support but have you ever tried to do that... all the links take me to the MS forums.
Anyhow my feeling now is that this update may not be applicable to IE9 and so wanted to confirm if other users had in fact got it installed.
Link in the last but one post here has the full story, http://www.pcadvisor.co.uk/forums/1/tech-helproom/4164714/problem-with-todays-w7-updates-and-cookies/