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When a foreign website is loading our website in an IFRAME it occured that the cookies (which we need for authentication etc.) are not being fetched by the browser through the IFRAME properly. Firefox, Chrome and Safari don't care about this but the Internet Explorer cannot make e.g. a cookie authentication through an IFRAME.
After some research we found out that this has something to do with the security model of the Internet Explorer and that this behaviour can be bypassed by sending back header information that tell the Browser that it's OK to accept cookies through the IFRAME.
So our software now just sends back the following header which resolved the issue completly (in PHP code):
header('P3P:CP="IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT"');