3rd Party cookie

I have a stats code in one of my websites which is blocked by IE6.

The 3rd party sets a cookie with UserID and uses it to identify the user for
statistical purposes.

 

I have policies but IE 6 still blocks the cookie, W3C validator says
everything is ok.

 

So the situation is...

www.mysite.com <http://www.mysite.com/>  wants the browser to allow cookies
from www.mystats.com <http://www.mystats.com/>  

www.mystats.com <http://www.mystats.com/>  tries to read a cookie with a
variable name (Website<id>User)

 

How do I put this into a compact policy or in a normal policy?