Please can you list what you have tried so far, which people are going to need to know before able to remote assistant you, this will mean no time is wasted going over suggestions you have already tried.
Also what version of IE are you running, and is this Windows XP SP2, Windows Vista etc.
For example in tools, internet options, Privacy what is the slider set to eg, medium, Low, High have you tried going through each option and seeing if it makes any difference ? Have you tried clicking on the site button and making sure all sites are allowed? have you tried going to the advanced tab and selecting the option that says restore advanced setting and also reset, this should put back the options as standard. Do you have any pop up blockers that could be preventing pages from being displayed enabled ? Is it just one site that is not saving cookies or every single web page you visit that uses cookies is not saving ? Please provide more information