Check your browser settings, make sure the site is allowed to store content locally. Check the folder where the browser saves temp files, make sure it's not set to Read Only. Check your firewall, make sure the site isn't flagged for exclusion. Scan your HDD/SSD to be sure the cookie isn't stored in a bad sector.
Then find the cookie and delete it, manually log out of the site and log back in to create a new cookie.