Hi,
Session cookies are kept in-memory, while persistent cookies are stored on disk (in folder "temporary internet files").
You've propably enabled the prompt for cookies for internet sites in your explorer settings, while your own site is part of the "local intranet". To make your own cookies visible, in IE click on tools->internet options->security->local intranet->custom level and mark "prompt" for "allow cookies that are stored on your computer" and "allow per-session cookies".
Regards,
Kurt.