this thread looks perhaps relevant to this problem, it was pointed out to me on an asp.net forum. There is a lot of different sounding stuff going on in here.. I need to read it again more carefully, but there are some client side suggestions and a clear admission that IE can do some screwy things with cookies
http://social.msdn.microsoft.com/forums/en-US/iewebdevelopment/thread/2d989cdd-7d88-46af-bedf-b87a0cb6695c/