Sessions /cookies issue

Hi all. I am building a web app which uses sessions to retain user data between pages and finally enter that data into mysql - I have noticed that out of 100 entries in the database, 10% are blank. I tested this by setting a cookie on the home page and when the user navigated to the form pages, tested whether that cookie was set and if not issuing a warning with some cookie tutorial info for the user. Before I used the simple test cookie, obviously the only cookie that was being set was PHPSESSID. All the users who entered blank records were using IE. When I test using IE this end, the session cookie is set with no problems and my IE security settings are set to medium. I know IE will accept certain third-party cookies at this setting, but what's the criteria and has anyone else encountered this problem? -- http://www.web-buddha.co.uk