Are Cookies set in frames?

For the first time ever I noticed what seems to be a bug with cookies being set on my site. If you visit http://www.321webmaster.com/index/8/87 and click vista print, which is an ad by reporting.net you will see that there is an error and a cookie can not be set. But if you click the remove this link frame it goes right through no problem. My question is, is that little top frame that I made so people can find their way back and rate the site they are on killing all my links that try and set cookies???

OK now I realize that IE was blocking the cookie....I had my cookie level set on medium. Now that it is on low it works. So this must be vistaprints problem for not having a privacy policy.

I wonder if they do this purposely....if a company did this knowingly, they would have to pay out less in commissions because people would not get credit for referral.