I have a XAMPP setup on Linux box and do not experience any issues with Internet Explorer when logging in remotely (obviously I can't test locally!). Although I'm not using sessions.
I don't know whether this helps but these are the settings in PHPInfo under "sessions" that mention cookies:
|Directive||Local Value||Master Value|
|session.cookie_domain||no value||no value|
Have you checked out the page on the docs which relates to Troubleshooting Login problems? It seems that the page is in need of some attention but there may be some valuable information within if you dig for it.
It seems it's most likely to be a path issue because windows doesn't like the forward slash ("/"), it prefers to use the backslash ("\"). That could explain why I'm not running into the issue because my XAMPP is on Linux.