This post may be a little late, but I have recently handled this particular issue for a Grails application. Many years ago, the same issue occurred in a Java web application that I created where Internet Explorer was blocking cookies (privacy settings). In order to allow the Java web app and JavaScript to write cookies in a primary page or an IFRAME in Internet Explorer, a privacy policy was sent from the web application. Microsoft still supports a privacy policy format called Platform for Privacy Preferences (P3P). This format does not appear to be supported in other modern browsers, but it does help overcome IE cookie issues. Despite concerns with IE 10 support of P3P, I have successfully tested the following P3P settings with strict validation.
1) Identify required categories for your application. For my application, the interactive, navigation, and uniqueid categories were required for proper operation. The Compact Policy codes are listed on the P3P specification site
Category Compact
-------- -------
interactive => INT
navigation => NAV
uniqueid => UNI
2) Determine if compact policy alone will work. For my application, the compact policy header was sufficient. If you require a policy file, then please review some example files here: http://p3pbook.com/examples.html.
3) The code below is a very simplified example, but should still illustrate the steps to perform.
HttpServletResponse response = (HttpServletResponse) res;
String policySettings = policyFileExists ? "policyref='" + policyFilePath + "', " : "";
policySettings += "CP='INT NAV UNI'";
response.setHeader("P3P", policySettings);
You can certainly perform similar steps in other technologies, such as PHP and ASP.NET. I hope this at least helps point people in the right direction for solving the IE cookie issue.