I had similar problems with IE 8, 9, and 10, and the cache control headers did not help. After further research, I had to put the P3P privacy policy (from the old Java web application) and IE correctly saved the cookie without cache control headers.
This policy format is only respected by Internet Explorer these days, but it is the only reliable cookie management tool without manual changes to IE's privacy settings. The P3P privacy policy has two parts: the policy file and the compact policy header. The compact policy header seems to work quite well. The various categories of P3P have compact codes for brevity in the title, for example. navigation => NAV. At a minimum, I would start with INT, NAV, and UNI codes for compact politics.
Here are two examples of returning a header:
Grails/Java: response.setHeader("P3P", "CP='INT NAV UNI'"); PHP: header('P3P:CP="INT NAV UNI"')
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