The server of a membership web site cannot see the cookies stored on my system. All efforts to fix the problem have failed. What should I do?

I receive the following error message whenever I try to download movies from a membership site to which I belong: "User session is expired or not logged in. Login to download file! (E-100)". The technical support staff for the site diagnosed the problem as follows: "The error you are getting indicates that our servers can not see our cookies on your system. This is typically solved by turning off anti-phishing (often in a browser toolbar)." I have tried turning off everything that I possibly can turn off, but the problem persists. Cookies are enabled and stored on my computer for the site. I even shut off my anti-virus software. My operating system is Windows 7. How can I solve this problem?