IE protected mode third party cookie issue
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I am seeing a weird issue in certain IE9 browsers (not every browser). I drop a cookie to another domain using an iframe and all the cookies is set proprely at that time but when i am visiting the other domain the cookie is magically gone. 

This all works fine when i removed the protected mode. And it only happens on certian ie9 browsers. 

I got all the p3p set properly and to make sure it's not p3p issue i have set the privacy to accept all cookies and it still re-pros.