cookies dont save for local intranet web sites

[J]

I have some local asp.net web sites on a windows 2003 server that save
cookies as pages are navigated. On the Windows 2003 server, cookies will not
save.
External web sites, Amazon, google, etc, save cookies to that server.
Cookies are enabled for intranet and internet. Security for intranet sites
are set to LOW. The ASP.NET configuration (2.0) is set to use cookies and
Inproc session state.

Any ideas why this does not work on a Windows 2003 server but does on
Windows 2000 workstation and server, as well as Windows XP?

thanks