This may not help you, but something similar happened to me once.  My cookie settings in the IE web browser were not being reflected in the behavior of various web sites, as you have described.  At first it was only on my local (development) sites, but later spread to all sites as I was troubleshooting the original problem.  I later tracked the problem down to the Web Developer Helper plug-in for IE.  I was using it to manage my cookies for a cookie issue I was experiencing during development.  However, upon blocking cookies using the plug-in, I could not longer allow cookies through the plug-in or the web browser.

If this is not your issue, I hope this serves as an FYI for others.

I am sure there was a registry fix somewhere, but I simply went with "Reset Internet Explorer Settings" option in the "Advanced" tab of the Options dialog.  This cleared up all my problems, as it restored the browser to the factory defaults.  However, in doing so, I also needed to reenable the other plug-ins, as well as restore the settings that I like to use when using IE.

Problem is resolved.

Problem was exists because of top level web.config which overrided some common machine.config setting. When I create separate web site and web application for DNN the problem dissappeared.