Session Vars and Local Firewalls

I've been getting more complaints lately that session vars
are getting lost and normally I walk them through making sure
cookies are enabled, but now that doesn't seem to be always the
case anymore and have finally isolated it to when they install a
firewall. If they disable it works, but when on it doesn't. Is
there anything I can do besides telling them not to use their
firewall?
Server specs:
ColdFusion MX 6.1 on a non-clustered environment.
User:
Using IE and using "e-trust EZ Armor"

I assume then, you are storing variables in cookies, rather
than registry or database then, correct?
Are these local firewalls? (on the actual PC) or H/W on a
network?
If they are local, the firewall itself may be eliminating the
cookie storage, not the browser ... if it is, it likely has a way
to change the settings.
There's not much you can do if you are forced to use cookies
for sessions (which is very common) other than altering your coding
or having the user change their settings.
If you have access to the CF admin, you may try setting up a
DB service for variable storage, which is an option.

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