I think this problem has to do with how IE’s security model works with respect to third party cookies.
I have some experience with this problem in openx, and I am currently using piwik in conjunction with openx (so basically, tracking analytics via ad tags)
I was able to overcome it with some convoluted mod-rewrite and P3P policy rules and I am now able to track traffic from all versions of IE. This is surely not the right way to do it, but is a workaround.
I guessed that other people dont have this problem because their cookies are first-party (i.e. their piwik server is the same as their content/website server), and IE is ok with those cookies.