http://support.microsoft.com/kb/827644/en-us
Locate the following registry key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings
Create a new key PluggableProtocols
Add a new string value.
Type the name of the pluggable protocol that you want to enable to access cookies, and then press ENTER.
E.g. if your protocol is chill://
enter "chill" as the name.
Note that the key might also have to be created under
HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\Microsoft\Windows\CurrentVersion\Internet Settings