I didn't even know where to set cookies on the menu so I had a look on the Mozilla site and found these instructions.
1. Click on the Tools-menu in Mozilla/Firefox
2. Click on the Options... item in the menu - a new window opens
3. Click on the Privacy selection in the left part of the window. (See image below)
4. Expand the Cookies section.
5. Check the Enable cookies and Accept cookies normally checkboxes.
6. Save changes by clicking Ok and go to one of the configuration pages again
Checked my settings and they are all fine, never had any probelms with Firefox, don't go back to IE Alice that is a sure fire way of driving yourself completly round the bend