Cookies in Internet Explorer

Click Tools > Internet Options from the menu at the top of the screen, as shown below:

Click the Privacy tab.  Within the Settings area click the Advanced... button.  From this area you can change the cookie settings as required.  If you decide to override automatic cookie handling you will have to ensure that First-party Cookies and Third-party Cookies are set to Accept or Prompt.  If you so wish to override automatic cookie handling it is advised that you set both first and third party cookies to Prompt.