To allow specific cookies in Internet Explorer:
Open IE.
Click Tools.
Click the Privacy tab.
Click the Sites... button.
In the Address of Web site: box, type in the address of the site you want to allow.
Click the Allow button.
Click OK.
Now, any time you go to that site, cookies will automatically be accepted.
Now, click the Advanced button.
Put a check in the Override automatic cookie handling box.
Under First-party Cookies, select Prompt.
Under Third-party Cookies, select Block.
Click OK.
Now, any time a site, not in your allowed sites list, tries to set cookies, you will be asked if you want to allow it, or not.
While you're there, check to make sure that site hasn't been added to the Restricted Sites Zone:
Select the Security tab.
Click the Restric.. sites icon, then click the Sites... button.
Check to see if the site is listed there.
If it is, you can highlight the site, then click the Remove button.
Click OK.
Now add the site to your Trusted Sites Zone:
Click the Trusted sites icon, then click the Sites... button.
Type in the URL of the site, and click the Add button.
Click OK.
Click Apply.
Click OK.