Okay, here's what I found. Nothing.
There doesn't seem to be a "Privacy" tab for IE 5.0. However, if you look at Flipper's screen shot above, it does show his setting to be *Medium*. One thing, Flipper - I noticed that the settings for "Internet" and "Local Internet" are separate. Can you check the cookie/security settings for both of these?
Nutscape nutscape nutscape -- from 4.3 in 1995 to 7.1 now. Never a problem! ROFLMAO....