He's right, Firefox rocks! Definately worth the download and it will import all your favorites
If you are using Internet Exploder and you want to keep doing so, you can also go into Tools, then Settings, then click the Privacy tab. If your security setting is above Medium High the cookies will not be accepted and you'll keep having the trouble.
Sounds like Bounty's suggestion is quicker and easier, but if it doesn't work you have a 2nd option.