Took some time, but it's solved. Here we go:
Sometimes the timezone is incorrect. If the difference is more than an hour, Iexplorer sessions will be destroyed inmidiatelly. You can change the timezone manually or ask your webhoster to do so. In PHP you can try:
date_default_timezone_set(string $timezone_identifier)
In addition to 1, sometimes it's impossible to stay within an hour. If so, you can change the session cache expire settings. In PHP it's
<?php session_cache_expire(1440); ?>
IE in iframes apparenty has an issue with underscores sometimes. When using underscores, IE rejects the cookie. So don't use them or make sure that IE doesn't store it's sessions that way.
Use P3P (check if it's legally allowed and such!). In PHP you could use
header('P3P: CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"');
That's all i tried and together they worked (not on their own).