Hi
I've already got this kind of issue using iframes and cookies.
Solved it just by adding this line (a more complete header)
header('P3P: CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"');
Dunno what it means, but it helped in my case. I hope it'll be usefull for you