does this problem happen with other browser? (Netscape etc)
have you changed any of your IE6 settings from the defaults (are you patched to the lastest version)?
what's your appserver, and has anyone changed any configuration in regard to sessions, for example setting the max-age attribute etc?
have you tried debugging the http request/responses to see what the actual cookie headers are being set to?
I just cross-checked with my application, and there is no problem with the session (with IE 6).
I would say it's a good chance that it is messing with things.
But the "File - New - Window" (or a CTRL+N) was retaining the session information in IE 5.0 & IE 5.5 versions also. Isn't it?