Internet Explore 5.x and below Using the 'Tools menu' - 'Internet Options', then select the 'Security' Tab, choose the Internet Icon and click 'Custom Level', here you can enable and disable Cookies/Sessions (Make sure they are enabled).
Internet Explore 6.x and above Using the 'Tools menu' - 'Internet Options', then select the 'Privacy' Tab. Here you can set your privacy level, if you have your privacy level set too high it will stop cookies being created on your computer. If you do not wish to lower the level of privacy you can allow our site to add cookie by adding it to the included list of websites, click on the 'Edit' button bottom right and enter inwww.auran.com
Firefox 3 Using the Tools Menu select Options and then the Privacy Tab, from here you can enable and disable cookies as well as create exceptions.