I was able to use a browser I never use and collect cookies, so I got it working. I don't have Firefox blocking cookies, and it was open whan I did the earlier check (and I don't have it set to clear history automatically), so it seems a bit odd. Anyway, thanks for the help!
How do you chose cookies to exclude when C shows none? This is after visiting cnn.com, yahoo.com, and logging into Facebook, GMail, and Twitter. No cookies.