Hello Ulf,
Even I had faced same situation with IE. Here is the complete description.
If you disable cookies in your IE, and tried to access application FROM LOCALHOST, such as,
http://localhost:8080/xxxx then you will get results which are same as that of enabling cookies.
The reason is very simple, IE will consider users request to diable cookies ONLY if the request comes from, out side of the current system or N/W i.e, OUT OF LOCALHOST. So, any request that comes to IE from localhost will not have any impact whether cookies are enables or diabled. IE will consider users request to diable cookies only if the request comes from NON LOCALHOST
Where as mozilla is not as such. If you disable cookies at mozilla, then it wont allow even Localhost to store the cookies. That is how mozilla behaves.