Enable and Disable Internet Explorer 6 Cookies

Click Override default settings, and then specify how you want Internet Explorer to handle cookies from first–party Web sites and third–party Web sites (a Web site other than the one you are currently viewing).

Advanced Privacy Settings

If you want Internet Explorer to always allow session cookies (cookies that will be deleted from your computer when you close Internet Explorer) to be saved on your computer, click Always allow session cookies.

You have now Enabled Cookies, but before you move on you must close down your browser before the new settings will be activated.