This means that you in fact do not have your browser set to accept all cookies. We recommend you review this publication from Microsoft on how to manage cookies in Internet Explorer:
http://support.microsoft.com/kb/q283185/
Make sure it is set to accept all cookies and allow all cookie sessions.
If you still are experiencing problems it means you have driver problems or other system issues, such as some kind of software firewall, which we cannot address from our end. If you are using a browser other than that which comes with Windows we really cannot provide any support for it, as we have no familiarity with whatever browser you may be using.
Let us know if you still have a problem.