Jeg fandt løsningen på phpmysqladmin.net
"It seems the problem I have is that IIS will not allow php to do a setcookie() and then subsequently call header('Location: something'). The header information is sent but not the setcookie information. Microsoft has a kb article regarding this issue, but seems unwilling to fix it
http://support.microsoft.com/default.aspx?scid=kb;en-us;Q176113. The fix is to replace the header('Location: ') with a header('Refresh: 0; url=). I tried this same fix for phpMyAdmin and it did work. In cookie.auth.lib.php, change line 397 from
header('Location: ' . $cfg['PmaAbsoluteUri'] . 'index.php?lang=' . $GLOBALS['lang'] . '&server=' . $server);
to
header('Refresh: 0;url=index.php?lang=' . $GLOBALS['lang'] . '&server=' . $server);
Jeg har prøvet, og det virker fint.