According to RFC1035 (Domain names – implementation and specification):
[domain names] must start with a letter, end with a letter or digit, and have as interior characters only letters, digits, and hyphen.
Turns out some of the domains had an underscore ( “_” ) in them:
some_domain.example.com. Although this is a violation of the RFC, all other browsers work normally.
MSIE 7, on a domain with an underscore, silently drops all cookies for that host and refuses to accept new ones.
The only solution is to use RFC-compliant domains (I’ve replaced all the “_”s with “-“s and set up a RewriteRule so that traffic is redirected to the compliant domains).
answer from this : Internet Explorer ignores cookies on some domains (cannot read or set cookies)