There is already a fix in CB 1.2 for this joomla 1.0 + IE problem.
If you want to try it in CB 1.1, just add this line in the begining of site's index.php file (inside a <?php tag):
[code:1] header('P3P: CP="NOI ADM DEV PSAi COM NAV OUR OTRo STP IND DEM"'); // needed for IE6 to accept cookies in higher security setting.
[/code:1]
Joomla 1.5 sends this header that IE expects in high-level security mode, for accepting cookies, but joomla 1.0 doesn't send this.
If this still doesn't work, and you have this problem persisting, please reply here (if it works, of course reply too!).
CB 1.2 has a few more improvements for this, and i'm quite confident, but can't be 100% sure. Thus it would be good to have a confirming feedback of 1-2 persons which experiment directly and heavily this problem (or have users available which experiment it systematically), in regards to CB 1.2 beta tests.
If it's your case, please PM Nick (nant) on this site with short explanation of the exact problem you face, site url, reference URL to this thread and available time to test this over next 24 and 48 hours.