We have a hotfix available that solves this problem (KB article). We are working on getting the content of the KB to reflect the situation a little more accurately, sorry if it's a little confusing until we update it. This is the QFE that fixes the problem where IIS7 on Vista prevents all but the last cookie sent by a browser to actually be set.
To get the hotfix, call Microsoft Customer Support Services (800-MICROSOFT or 800-642-7676) and give them the relevant KB article number (932385) and your OS platform. You'll get the hotfix right away.
Thanks,
Mai-lan