I had a weird issue with IE8, actually my friend who was testing the site did cause I didn't have any problems while browsing the site from IE8. Debugging the site I saw that when he browses the page the php session content is cleared on each page reload.
So I thought it had something to do with session cookies, but I couldn't figure out what. I added this P3P policy on each page hoping it will help:
header('P3P: CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"');
I asked him to test the site and it was working for now. The session wasn't cleared on each page reload. The question is why the site was working for me in the same browser? And what did that P3P do on his browser? I know that Facebook hasn't implemented P3P policy and I don't see why should I do it either as the tags are very tricky and Facebook can work with out it.
The P3P policy is required for IE to set cookies within an IFRAME if the document within it is served from a different domain.
If you didn't know this, then how did you know to try it?
It may be working for you if you have lower security setting than your friend.
http://www.windley.com/archives/2008/08/p3p_and_internet_explorer.shtml