Individual can't login to our site using IE

[Mantorok]

ASP.Net 2005

Hi all

We have a website that users can login to, it doesn't use cookies, just
session-state, yet a particular user cannot login from IE, he can from
Firefox.

When a user logs in we store details into the session-state, when this user
logs in it automatically redirects him back to the login page because it
can't seem to persist the login-status.

What setting in IE could cause this?

Thanks
Kev