Sounds to me, being the inexperianced cookie person I am, that you have too high of a privacy setting.
Internet Explorer>Tools>Internet Options>Privacy(Tab)
I have mine set on medium, works okay.
Internet Explorer>Tools>Internet Options>Temporary Internet Files(Space)>Settings(Button)
You also might have your temp. file set too small. Every image loaded on the internet and the cookies are sent to this folder. I've had problems where only part of a file will be saved before, but I have my file set to 5000MB and empty it whenever I get to it, usually weekly.
^^^You might already know this stuff, but if not, hey, I helped

Also, if you use other browsers, I have no idea how to set those.^^^