(95% sure I'm interpreting the wordings correct here... I could *possibly* be looking at the wrong setting, so YMMV)
In IE, click Tools -> Internet Options. Switch to the Security tab and select the Internet zone, then click "Custom Level." About 2/3 of the way down (it's the last setting under Miscellaneous) you'll find "Userdata Persistence." Make sure this is set to Enabled. This should do it...let us know if it doesn't help.