Cookie problem

I'm having problems with a customer who can't login to a wholesaler application. To ensure the problem was that the cookie was not being set, I sent him to this script: if( !isset( $_REQUEST['page'] ) ) { setcookie('VATtest','Cookie has been set.',time()+50000, "/"); echo '<a href="'.$_SERVER['PHP_SELF'].'?page=1">Test cookie.</a>'; } else if( $_REQUEST['page'] == '1' ) { if( isset( $_COOKIE['VATtest'] ) ) { echo $_COOKIE['VATtest']; } else { echo 'Cookie NOT set.'; } } ?> He got "Cookie NOT set." which means exactly what it says. He's using IE 6.0, and swears up and down that he's set it to always allow cookies from this domain. I can't verify that he's set it correctly, but he has been told twice how to do it. I also know his browser must be saving some cookies, as he is able to login to other sites. Has anyone run into other sources of cookie-blockage in the past? I cannot manage to duplicate this when I have IE set to always allow cookies from this domain. Thanks for any tips, kgt