I'm getting the same issue x64 + IIS7. At first we thought it might be loadbalancer releated, but the IE7 browser just doesn't retain the sessionID, while other browsers do.
I'm fairly annoyed as it's been difficult to troubleshoot. We have a standard masterpage solution with FormsAuthentication. Forms authentication just falls over with out sessionID's. The solutions work perfectly on Vista x32 IIS7 or IIS 6/5, just don't play well on the x64.