Microsoft Internet Explorer 5.0 - 6.0
Click on your Tools menu above, then Internet Options, and click the "Security" tab. Click on the "Custom Level.." button at the bottom. Scroll down until you see "Cookies" and verify that the radio button next to "Allow per-session cookies" is enabled.
Netscape Navigator 4.0 - 6.0
select Edit - Preferences and scroll down until you see "Cookies" under Receiving Files. Make sure that "Never Ask" is selected.