HOTFIX: A Web site cannot set a cookie if the Domain attribute is in uppercase characters and has an odd number of characters in IE6
In Microsoft Internet Explorer 6, a Web site cannot set a cookie if the following conditions are true:
• The Domain attribute is in uppercase characters.
• The Domain attribute has an odd number of characters.
Note: If the Domain attribute starts with a dot, this dot is not included in the number of characters. For example, if the cookie tries to set the .EUROPE.CORP.CONTOSO.COM domain name, the cookie cannot be set. This domain name has 23 characters.
Source: http://support.microsoft.com/default.aspx/kb/932043