For “security” reasons (stuff related to P3P Platform for Privacy Preferences), Internet Explorer does not accept cookies for a site inside a frame. But you can force him to accept cookies by adding this in your http header

PHP:

header('P3P:CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"');

ASP.NET:

HttpContext.Current.Response.AddHeader("p3p","CP=\"IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT\"");

Django:

response = render_to_response('mytemplate.html')
response["P3P"] = 'CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"'

JSP:

response.addHeader("P3P","CP=\"IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT\"")