Ie can help users automatically record the user name and password entered when logging on to forums, shopping, blogs, and other websites. When a user logs on again, it does not have to be so troublesome to re-enter the user name and password, this is the role of the legendary cookie. For security reasons, IE8 will prevent some websites from recording your cookies to prevent unauthorized calls and your privacy from being leaked. In Windows XP, IE8 users may be unable to save cookies.
To solve this problem, try the following methods:
Expand the "Tools" drop-down menu at the top of the IE8 window and select "Internet Options ".
In the displayed window, click the "privacy" tab and click the "advanced" button. The "Advanced privacy settings" window is displayed. Select "replace automatic cookie processing", set "first-party cookie" and "third-party cookie" below to "accept", and finally select "Always allow session cookie ".
"OK" and restart IE8 to solve the problem that the cookie cannot be saved.
From: http://www.seekxiu.com/article.aspx? Id = 9112