Internet Explorer, we deride it for all the things it does not do well, but in this case I hit an issue where IE was doing the right thing but it still was not very helpful.
IE may be the only browser that checks for the validity of a hostname before allowing cookies to be saved in the browser. The IETF spec has a listing of characters that are now allowed in hostnames (http://www.ietf.org/rfc/rfc2396.txt) with the underscore '' being one of them. If your hostname happens to have an underscore in the name (e.g. fortapache), IE will not write cookies locally to your machine, but also will not give you any indication that the hostname is not valid.