If you do a search on login on this forum there are 100's of posts on this subject.
But, if you connect deirectly to the site and don't use IP masking, domain forwarding, etc. to connect to the forum then your users should not have to change their IE settings to low.
For security reasons IE and other browsers are setup not to allow cookies to be read and set by third party sites, by using domain masking, IP masking, forwarding, etc. the browser sees the site as a thrid party site and has trouble setting and reading back in cookies.