kat, Assuming we are talking Internet Explorer 5, as you said, you go to Tools/Internet Options and Click on the Security Tab.You then make sure that you are changing the correct zone - in this case click on Internet.
Any of the default security settings except High Security will accept cookies (the default setting for the Internet Zone is to use Medium security). It a Custom setting rather than a preset default is used on for this zone, it may be necessary to click the Custom button and adjust the settings for cookies as you described.
I have not tried this but as far as I can see, for those who don't like cluttering their machine with cookies but want to use the Mudcat cookie, it may be possible to block cookies on the Internet zone and set Mudcat up as a trusted site and alter the settings for that zone to suit. I must try it sometime.
Jon