If you're using iframes and it appears you cannot start sessions or set cookies in Internet Explorer (IE), then most likely you have an issue related to the P3P header.

In PHP you'll probably be able to fix the problem by adding the following line at the beginning of your script (for other languages find and use the equivalent):

header('P3P: CP="ALL ADM DEV PSAi COM OUR OTRo STP IND ONL"');