There is one very nasty 'feature' of IE6 and IE7 that is very hard to debug and detect. It happened to me so i'm sharing it here to help others.

If your domain name contains underscore '_' character Internet Explorer will fail internally to add cookies from any of it pages!!

IE calls address like pages.mydomain.com and everything is ok, cookie is sent from server and added by Internet explorer. You can see the cookies in View -> Web Page Privacy and Policy. If your domain contains _ like new_pages.mydomain.com Internet Explorer will completely ignore them. You will see that website is not marked as insecure, you will see message that no cookies were rejected/ignored but still wont be able to keep the session as cookies wont be sent back to the server.

Domain names should not contain underscore _ character as it is illegal and there is no way around it (known to myself).

What is even more annoying other browsers tested by me worked fine.