Stephen - my system at work and the one at home are set up identically except for the OS. 2KPro at work; XP Pro at home.
Not only accepting all 1st party cookies but while trying to sort this out, set everything to "very low safety" and even made the FW site "trusted" for a bit. No help.
Firewall should be fine unless your software wants to use a really strange port. In that case, if you can let me know which, I can/will open a port. The work firewall is already much more restrictive than mine at home but work is doing fine.
The odd part to me is that I can use an account for as long as I want and it works fine. Just can never log back on after the first time I use the account.