The first suggestion from me would be to use Internet Explores default "medium-high" internet security settings and not a customized with possibly blocking cookies.
If your default web browser is another than IE, make sure cookies are allowed in it, too.
Next thing which might block cookies is the Anti virus/Internet security software. make sure it doesn't block cookies from GayTorrent.ru or QTM from downloading content.
One member reported that his Peerblock protection was blocking http ports and the reason to get that cookie management software turn off message.