IE0005: By-design. Setting cookies fails when the hostname of the server contains an underscore.
This happens because the machine name contains an underscore, technically prohibited by DNS rules (LetterDigitsHyphen) and hence blocked. This issue is mostly relevant for Intranet sites; most DNS systems will prohibit use of underscores in hostnames due to the LDH rule. See http://support.microsoft.com/kb/909264 for more info.