Cookies not working as expected

I was experimenting with privacy setting by making them
more retrictive and having IE prompt me when a cookie is
placed. I decided to go back to the default and remove
everything from the site list.

Now, I am getting sites saying cookies must be
activated. I get the message even when I set privacy
to "allow all cookies". I have even tried putting the
site on the list set to "allow all". Nothing works.

Thanks.