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GroupFinder requires a session level cookie that is just used for the duration of your GroupFinder session.
In Internet Explorer the cookie options are in the Tools menu under Internet Options and then on the privacy tab. By default Internet Explorer allows session level cookies but under the Advanced button this can be explicitly controlled.

If you got this message after clicking a Favorite or Bookmark it may be caused by trying to bookmark a page that requires you to be logged in.
In that case you can login here before accessing the page.