Cookie Problem

I've written an ASP that run on an NT IIS machine that creates cookies. When I execute those pages from my home computer, it works fine. However, when I execute the same scripts from IIS on my local machine, it will not create cookies! I've even set the browser to prompt before it will write any cookies. It doesn't prompt me, so I assume that its not even trying to write the cookie.

My local machine is running Windows XP Pro. I guess I've got something set up wrong.... any suggestions?

Thanks!