Since i.e. 7 there have been problems with cross domain cookie setting in default security settings. So if affsite.com wanted to set cookies on it’s casino page casinopage.com those wouldn’t have gone through in IE7 unless you went through a painful work around.
Chrome and IE8 take it to a whole new level they will essentially render ALL COOKIES useless when their privacy/anti-porn tab is activated. I think in IE8 it is a per browser session thing where all sites in the open browser would be affected. Whereas in Chrome it would be per tab you apply the privacy to (so not quite as bad). So if anything affs in “vice” related industries would be hit hardest i.e. gambling, porn etc. Because that is where people will be most likely to activate these options.