My Session values are not stored with IE6

I have a problem with an ASP application I'm building for one of my customers.
I use Session variables to store user information when they logon to the application.
In each page I make a check to see if the session is still valid and if not they are redirected to the login page.

However when the user is using IE6 none of the Session values are saved so the user can't log in since he/she is constantly returned to the login page.

Could it be a security issue under IE6 ?
ie. don't store cookies etc. from insecure sites ?

IE 6 has higher security than earlier versions by default. Try messing with the security settings in Options.

Make sure they are also not running a third party "Cookie Killer" type program.