You cannot use the settings on the Privacy tab in Internet Options to permit or to block cookies for a Web site that is in a custom zone in Windows XP Service Pack 2

You can access cookie settings for Microsoft Internet Explorer 6 by clicking the Privacy tab in Internet Options. However, the settings in the Privacy tab affect only Web sites that are in the Internet zone. You cannot use the settings on the Privacy tab to permit or to block cookies for all Web sites that are in a custom zone.

This behavior is by design.

You can use the settings in the Privacy tab to permit or to block cookies for specific Web sites that are in zones other than the Internet zone. However, you cannot configure a custom cookie setting for a whole zone other than the Internet zone.

To access Internet Options, click Start, click Run, type inetcpl.cpl in the Open box, and then click OK.