I wouldn't disable any of the firewalls as you will end up with a bigger
problem than your browser not accepting cookies.
With regards to IE all you should need to do is go into Internet Options,
click privacy and make your changes from there. You can either either use
the slide bar to adjust the overall privacy setting or you can go into Sites
and add the individual site which will allow all cookies. You can also play
around with the advanced settings on here.
What firewall client(s) are you using as some of these will block cookies
regardless of any settings you change in IE? If you are still having
problems then it is most likely being caused by your firewall. Again though
I wouldn't disable your firewall as your machine will be open to everyone
regardless of any antivirus software you are running. I can't speak for all
firewalls but I know with zone alarm you were able to turn the blocking of
cookies on or off so it might be worth taking a look at your firewall
settings.
