If I understand you correctly, the correct method of handling cookies, is as follows: -
Tools > Internet Options > Privacy Tab > Advanced: -
1. Check the box that says Override automatic cookie handling.
2. Accept First-party cookies.
3. Block Third-party cookies.
4. Check the box that says Always allow session cookies.
Ok your way out.
This link gives you further information on how to manage cookies in IE6, if you are using that version: -
NB A clean installation of Windows XP is advised, as opposed to upgrading from an earlier system.