Has anybody tried Portal Controlled Filtering with IE8?

I am testing it and it doesn't seem to work. If I log into the portal and navigate to a site that is blocked by default but should be unblocked when I log in I get the block page telling me I am not logged in.

Works fine with Chrome, FF and IE7.

So I guess its some setting in IE8 but can't work out what is stopping it. I believe the PCF works by using cookies so I guess its a cookie setting?

Any ideas?