Internet explorer is not keeping my authentication cookie after one page redirect. 

Here is the situation:

I have an ASP.NET 2.0 web application running on a shared iis7 hosting. The application uses forms authentication to handle login and user identity and writing a cookie (.ASPXFORMSAUTH) on the client machine for that purpose. 

in IE (checked with version 8, 9), **from some locations**, the authentication cookie is not being kept after the first page. The observed behavior is:

1. User name and password are submitted in login form
2. User is succesfuly redirected to the first-after-login page (and fiddler shows that the .ASPXFORMSAUTH cookie exists)
3. After clicking another link or hitting F5 for refresh, the user is credirected to login, and the authentication cookie (according to fiddler) doesn't exist anymore. 
at the refresh / click, the authentication cookie is missing in the request headers.

This doesn't happen in Chrome / FF, and even in IE, it seems to be dependent on the location from which I am connected. 

also, locally (using the internal dev server in VS2008), all works fine and reflects fine in fiddler as well. 

I am banging my head at it for a few days now. Thought it may be some kind of a strange firewall problem, but couldn't determine anything conclusive. 

Ideas will be appreciated.