I don't know if this is a new update with IE8, but today none of my affiliate cookies are dropping on IE8. It doesn't matter if it is a third-party or a first-party cookie, it is being blocked.
What are the workarounds for this? Doing an iFrame and loading the merchant's page and dropping the cookie doesn't work as it doesn't see that as a first-party cookie. If I do the test on my own site that has an affiliate program, it works as the domain matches the cookie without an iFrame.
I am at PubCon right now and while this may be due to the cobwebs from the parties, what I am seeing with the cookies being blocked is causing major stress.