IE only blocks (by default) third part cookies.

Meaning if I am on a site http://microsoft.com and there is an image (or
iframe) that served from http://mysite.com and it's trying to plant a cookie
then it will be blocked.

cookies from microsoft.com should not be blocked

IE will not block third party cookies if third party supports "Compact
privacy policy"

To add that support you need to simply add following header to the pages
that plant a cookie. (No harm if you add it to all pages).
Response.AddHeader("P3P", "CP=\"NON DSP COR CUR OUR IND INT\"");

You can dig and find out what exactly CP=NON DSP COR CUR OUR IND INT means
but the truth is IE ignores it. As long as it present.....

George.