The latest version of MS Explorer (6.0.26) has a considerably more sophisticated handling of cookies that its predecessors. It can block by domain or use other criteria. I generally block any cookies unless I see they benefit me in some way other than becoming a recipient of more on-line ads.

I have been getting the block-warning for this site lately when viewing the TCB:

http://thechipb.dws0206.fast.net/cgi-bin/webadverts/ads.pl?iframe

Can you tell us what this cookie does and whether blocking has any adverse effects on your site or the advertising that you need to support it? I appear to still see banner ads and my name and e-mail address are still retained for messaging as before.