The answers above are correct, but I think it's worth mentioning why you would like to do this in terms of functionality. If you have a page that is included in a frameset from another domain, any version of IE 6 or later will block cookies for your page if the p3p header is not present.
The idea is that your page, if it is placed in a set of frames hosted by another domain, is considered the content of a "third party". The fear is that you can try to hide hidden ad tracking or other cookies in the user's browser without their knowledge. The p3p header is a way to strengthen your organization by saying, "We will not do anything to hide third-party cookies with them." The user can configure their browser to block your cookies if you do not set this header, but with IE6, which is the default setting.
Paul degnan
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