I'll summarize for those of you who are allergic to MSN knowledge base articles, although this one is fairly to-the-point:
If you implement a FRAMESET whose FRAMEs point to other Web sites on the networks of your partners or inside your network, but you use different top-level domain names... IE silently rejects cookies sent from third party sites.
This bit me today while adding facebook support to my text-based game -- I'm going the IFRAME route for fb support rather than rewrite the whole app in FBML thankyouverymuch, and yes, apparently IFRAME counts too for IE retard-mode.
What makes me cry a little inside is not the two hours spent deep in old and crufty login and cookie-setting legacy code wondering what the flaming hell was going on. No, what makes me cry is that I got screwed by a setting that will never block the bad guys, because labeling yourself a good guy is entirely voluntary. It's like someone at MS read the evil bit RFC and took it seriously.
The mind boggles.
In the meantime, if you know where your web framework's cookie code lives, do everyone a favor and patch it now to add that P3P header given in the knowledge base by default. And an option to disable it if you're obsessive-compulsive that way.