Recently, I've been informed that the problem in IE where the cookie is not broadcasted to a new window might be fixed by applying a setting in IE. There seems to be a setting which controls the environment to be seen by a new window. If that setting is OFF, that might have explained why we obtained that behavior.
However, we were unable to find where to go in the setup to adjust that. If anyone knows about it, please, let me know.
Again, this bug appears occasionnaly for some people and all the time for other people. It is also current to various versions of IE.