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First off, that statement is not accurate. At least the version of IE6 that I have was not defaulted to refuse anything, only verify that the user (me) wishes to permit the cookie.
What I did not particularily like was the forboding red warning icon in the browser's status bar when the website sends a cookie without valid P3P compliance. That was solved by creating the privacy document for my site. So maybe you can switch to a 3rd party tracking service that is in P3P compliance.