Inexplicable Blocking of Graphics as Cookies in IE6

[scorpion]

I want to report a strange behaviour I've experienced in IE6. On certain pages, the red privacy lock appears. The cookies that appear "blocked" are simply certain graphic files on the page (GIF, JPG). This is very odd as the page has no cookie setting code at all. Has anybody experienced this?

[Visit Thailand]

When I first added SP2 to IE 6 I could not see any images but that was because NIS was running when I installed it.

[Jingle]

Some ad network (i.e. doubleclick.net) banner ads which are most likely gif images won't be displayed if their cookies are blocked.

I'm happy with that, though.