IE8 - Not writing certain cookies on my machine

I have a problem where I am using ASP.Net to write a cookie. The co开发者_开发技巧de is correct and works great in Firefox and also works in IE on other machines. My machine, however, does not want to play ball. I have reset the settings in IE to no avail. The only thing that makes it work is when I uncheck the Protected Mode in the security settings, but then I get an annoying pop-up everytime I open a new browser.

The plot thickens...

On other machines, this Protected Mode is checked and the cookie is being written. Any ideas?

Not sure if this affects the Cookie issue, but:

With the IE 7 Protected Mode Turned On, the browser essentially runs as a low privilege process; as a result of which it can store / read / write cookies in the LOW version of the Cookies folder:

C:\Users\username\AppData\Roaming\Microsoft\Windows\Cookies\Low

But if you have turn UAC off or Disabled the Protected Mode in IE 7, in Windows Vista, they (like cache, temp & history) will mostly be stored in:

C:\Users\username\AppData\Roaming\Microsoft\Windows\Cookies