What Is Eating My Cookie?! Cookie Does Not Get Transferred In Asmx Call

I'm having a (browser) cookie issue here. I have a Sharepoint page (http://myServer:24628/sites/myApp/myDocumentLibrary/test.aspx). When the page is requested, I can see in the req

Solution 1:

Your cookie isn't sent because the Host field is not the same on the two requests:

Host: webapp01:24628

Host myServer:24628

Solution 2:

The javascript was indeed loaded from a different location. As Chris Lively suggested in a comment on my question.

Solution 3:

Covering all bases, do you have [WebMethod(EnableSession = true)] ?

Is this only happening in IE? Have seen this with IE only, had to add a P3P header entry, but that was for cross-domain SSO solution.