"IE9" means 'Internet Explorer 9".
You've not told us which web browser you're using, which makes it rather difficult to explain how to check your security settings.
If you're using Internet Explorer 7 or 8 (or, indeed, most other versions of Internet Explorer), see the instructions here:
http://windows.microsoft.com/en-GB/windows-vista/Block-or-allow-cookies
(I'd opt for simply allowing cookies from ALL websites or possibly by using the 'based on their type').
Chris