Web Logon Trouble

[Glen Davis Jr.]

I have PS2003 installed on the same server as SPS2003 and both run under the
default web site. If I enter http://server/projectserver on the address
line of IE6, I logon to PWA just fine. But I created a link on the home
page of SPS that points to the address above and when I click that link I
get the following error message:

You cannot be logged on because your security settings in Internet Explorer
do not allow per-session cookies. Enable per-session cookies, and try to log
on again. (5011)

Any idea why the discrepancy?

Thanks.
Glen