redhot_nyc:
I bet you're using Entourage v.X, too?
(There's a known conflict between IE and Entourage v.X in accessing the same com.apple.internetconfig.plist file to store cookies and preferences. When you quit Entourage (e.g. on logout) it overwrites all the preferences back to what they were when it was launched.)
A work-around for IE is to Quit Entourage before launching IE, set IE's preferences and visit any websites you want to have set permanent cookies, then Quit IE (to save the preferences and cookies). Or, always remember to quit Entourage before you Quit IE.
Or, use Safari, Camino, Mozilla, OmniWeb, Netscape, Opera, or iCab for your main browser, though you'll still need IE for a few sites.