After spending half a morning trying to figure out why Internet Explorer (and only Internet Explorer) would not create a cookie I was setting, I thought it was time to familiarise myself with the known issues of IE7.  So here's my reference - EnhanceIE - Internet Explorer Bugs.

The problem was that I was running the site from my own desktop where I created a virtual host that contained an underscore.  Obviously you would never give an Internet domain name an underscore--you couldn't if your tried--but I never gave it a thought when defining a dummy host name for testing.

IE7 won't allow a cookie from a domain that contains an underscore because underscores are prohibited by DNS rules.  So it's "by design".  I think this is a bollocks choice though.  If you're going to allow underscores in your server names, and allow you to use those name in a browser address, then create the cookies like Opera and Firefox do and stop confusing developers.