IE uses (by default) the adobe plugin, which from my understanding doesn't necessarily parse cookie information through.
Don't quote me, I'm sure you may be able to set and get cookies, but i've never tried nor seen it done. It's like trying to parse a normal cookie to a swf file, it just doesn't happen or it has it's own set of rules.
In regards to an a PHP specific session cookie, would I be assuming correct to say that the svg is being rendered by php rather than having a static .svg file?