The files and things have to be very specific yes, and then in addition the header or something that is sent with the cookie has to have the correct information. So just adding the proper information to your site is not going to be good enough.
We have not figured out how to do it yet. Many of the company computers I have heard about the people have been able to change the settings on their individual machine, because they are within IE and not the basic OS. Also many firewalls (mostly the personal ones and XP I believe) have defaults that automatically block cookies. So sometimes even if they have IE correct, then the personal firewalls are creating the problem.