so what is Authenticated Cacheability?

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Bad news first

The steps I’ve posted before only extend in some way my sessions, so it doesn’t work.  Sorry if I confuse you or make you waste your time…

The good news

Just add this code to the global.asax file in the root of your DNN installation.  This will fix the problem with cookies in IE.  Let me know if it works for you.  Remember I'm using DNN 4.3.5

<script language="VB" runat="server">
    Sub Application_EndRequest(ByVal s As Object, ByVal e As EventArgs)
        Dim SiteNameURL As Object
        Dim Context As HttpContext = CType(s, HttpApplication).Context
        Dim Response As HttpResponse = Context.Response
        'Request domain name
        SiteNameURL = Request.ServerVariables.Item("SERVER_NAME")
        'Get components of domain name
        Dim urlarray() As String = Split(SiteNameURL, ".", , CompareMethod.Text)
        'Create domain name for cookie
        Select Case urlarray.Length
            Case 2
                SiteNameURL = "." + SiteNameURL
            Case 3
                SiteNameURL = "." + urlarray(1) + "." + urlarray(2)
            Case Else
                SiteNameURL = "." + urlarray(urlarray.Length - 2) + "." + urlarray(urlarray.Length - 3)
        End Select
        'Set domain to cookies
        If Response.Cookies.Count > 0 Then
            For Each cookie As String In Response.Cookies.AllKeys
                Dim name As String = cookie.ToString.ToUpper
                Select Case name
                    'Should use your own cookie names
                    Case ".ASPXANONYMOUS", "ASP.NET_SESSIONID", "LANGUAGE", ".DOTNETNUKE", "PORTALALIASID", "PORTALROLES"
                        'Uncomment next line to disable Httponly cookies
                        'Response.Cookies(cookie).HttpOnly = False
                        'Set domain
                        Response.Cookies(cookie).Domain = SiteNameURL
                        'Set path, change DNN to your DotNetNuke installation folder or leave just “/”
                        Response.Cookies(cookie).Path = "/DNN"
                End Select
            Next
        End If
    End Sub
</script>

The P3P header can be added here too. Next is an example.
Response.AddHeader("P3P", "CP='BUS CUR CONo FIN IVDo ONL OUR PHY SAMo DSP IDC COR'")

Depending on security/privacy settings in IE, websites will require to send this header, otherwise, cookies may be rejected.

Rgds,
Llamil