Can't login with IE

My domain is setup in option Frame redirect to a subdomain where I have my hosting package. I'm using Dolphin version 7.

My issue is that I can login with firefox with my user/password HOWEVER NOT WITH IE.

Any idea why is that?

I found out that when checking the privecy setting in IE7 to LOW from MEDIUM it's working. I'm wondering if it's something related to the login.php checking in Dolphin V7 or something with access permission to a directory.

I'm wondering if someone else is experiencing similar issue. It's working fine in Firefox