i did a quick google search for "cookies and iframes" and found this code snippet:
<?php header('P3P:CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"'); ?>
from this page:
IE-Blocking-iFrame-Cookies
try adding that code at line 1 of your page.