When I tried to use session in Facebook canvas iframe application, in IE browser I was having issue with session not being set up but in Chrome and FF it works. So to make it work in IE I added this below code (for ColdFusion) and it worked in IE too:
<cfheader name="P3P" value="CP='IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT'" />
Ref:
http://stackoverflow.com/questions/3871199/facebook-iframe-not-working-in-ie-session-login-issue
<cfheader name="P3P" value="CP='IDC DSP COR ADM DEVi TAIi PSA PSD IVAi IVDi CONi HIS OUR IND CNT'" />
Ref:
http://stackoverflow.com/questions/3871199/facebook-iframe-not-working-in-ie-session-login-issue