ok, I worked all night with my problem. Maybe this helps you:
In IE 5.5 (an maybe since 5.1) and PHP 4.0.1pl2 setcookie() doesn't work as manual states. You should use semicolons in the expire field, i.e.:
setcookie ("TestCookie", $value,time()+3600); //doesn't work
setcookie ("TestCookie", $value,"time()+3600"); //it works
if you use a variable to determine the time offset for the cookie use:
$timeoffset=3600;
setcookie ("TestCookie", $value,"time()+$timeoffset");
At first I thought it has to do with some corrupt register on my IE installation, but reading the PHP's manual notes I realized that some other ppl has the same problem.
Maybe this fixes the weird proxy cookies one.