Setting Privacy Policy for cookies in IE

Take a look at this:

http://msdn.microsoft.com/en-us/library/ms537341(VS.85).aspx

This is what I found to implement privacy policy to handle cookies to work correctly in IE. This problem happens when I try to implement a web page as a Google Gadget. I found this:

http://code.google.com/apis/gadgets/docs/legacy/fundamentals.html#Cookies

Here is the gadget I am trying to implement:

http://www.google.com/ig/directory?hl=en&url=www.justthinkart.com/googlegadgets/student.xml

It works fine in FF. But not in IE. Also, ifI call the webpage directly (without putting it in a gadget), it works both in FF and IE.

My question is, how do I do this in an aspx page?< ...