Ever seen this symbol?? 
The image above is the notification in Internet Explorer that a cookie has been blocked. Cookies are a vital part of the vast majority of tracking systems. This is a fact that Microsoft have a major issue with. They allow internet users to set their privacy policies in the options menu. Whenever a cookie privacy policy does not exaclty match the cookie policy it gets blocked. P3P was invented to have a unifying policy for all Priacy Policies. Privacy Policies are an integral part of successful Internet Explorer integration. A privacy policy is a two fold integration. You need to have a compact privacy policy in your headers of your site. You also need to have a privacy policy that can be seen publicly. As long as you have a privacy policy your cookies will be allowed.
Alas this process is not as easy as you might think. Firstly, the compact policy has many different abbreviations that are quite ambiguous. Secondly the Privacy Statement is not always found by Internet Explorer.
Overall Internet Explorer means well, but makes integratation very difficult.