This line of code will save you. Respect and cherish it. And put it on the first line of your scripts:
header('P3P:CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"');
The issue that this header solves usually happens when the session is started within an iframe, e.g. when building a Facebook app. It has something to do with Internet Explorer not trusting iframe content.
Anyway, P3P stands for Platform for Privacy Preferences. You can also Google that code to find out more.