Sessions, no cookies and enable-trans-sid, oh my

I know that if you compile PHP4 with --enable-trans-sid (as we have), it will automagically append SID to all href links. This is supposed to make it so that if a client's browser does not accept cookies, the session ID gets sent to any subsequent pages that the user gets to by clicking on links. My problem is this and I'm hoping someone can help me find a solution. In IE, I went to customize my security level. I disabled "Allow cookies that are stored on your computer" and I also disabled "Allow per session cookies (not stored)". If I do this, the enable trans sid doesn't work (as in, the value of SID is not automagically appended). If I enable the latter (with the former still disabled), the enable trans sid works beautifully. Now, my question is this the expected functionality? Or should the enable trans sid work regardless? Thanks! Chris