I'm not sure about this, but from my experience IE accepts cookies (such as session cookie) when you set a p3p meta tag in the header of your page. Read about P3P. There are some free tools to make such a tag. An example from one of my pages:
<meta http-equiv="P3P" content="CP='OTI DSP COR CURa ADMa OUR STP UNI'">
Otherwise allow for session id to be passed with url rather then cookie - this can be changed in php.ini as far as I remember (which is not very far 😉)