There is a thread on JDEList that highlights a pretty quirky Inertnet Explorer limitation on the name of a JAS/Web server.

The issue is explained further in Microsoft KB article 909264.

Essentially, it only accepts cookies from valid URLs  Which means that they have to conform to the LDH (Letters Digits Hyphen) rule of DNS, no underscores.

Even if you have an underscore in the name of the JAS server you can get by that by assigning a valid name in your companies DNS.  For example at my employers we use erp.company.com.