IFRAME problem - SESSION

I have CMS system which is managing one .INFO site. We're implementing another system in this CMS via IFRAME (the system is on .COM domain). The second system is using SESSION variables for the login, but when I submit the login information (in the IFRAME) its saying that user's information is incorrect. When I press submit, the page is making the right SESSION variables but the problem is that when I change the page (redirect or even click link to another page inside the frame) I'm loosing the SESSION variables. This is happening only in IE (not in Mozilla, not in Opera). I found that IE has security option that enables SESSION cookies in that case (Tools->Internet Options->Privacy->Advanced). When I enable everything its workin properly.. but unfortunately I cant do this for all the users that are visiting the site ;)

So any ideas how to fix this without removing the IFRAME ?