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Forum Moderators: incrediBILL
I'm not very expert with cookies, but as far as I know, the situation you describe is the way IE security is supposed to work. I know it can be frustrating, but I actually hope no one finds a way to get around it. People should be able to block cookies from their machine if they so choose.
Of course, the average user may not understand all the repurcussions of their security level choices.