One thing I would check is if IE is allowing the cookies. Most of the times, session info is set in the cookies..
The other one to check would be is IE sending back the cookie that was sent.
To check first one should be pretty easy. Go to Internet Options and check if it is accepting cookies.
To check second one, you need something like IeHttpHeaders(http://www.blunck.se/iehttpheaders/iehttpheaders.html
) installed and check the request headers to see if IE is sending back the cookie and the domain name it is sending back to.
Guess that would help.