The above article specifically states :
NOTE: After you apply this update, Active Server Pages (ASP) cookies are blocked if the server name has non-DNS supported characters in it. For example, you cannot use any underscore characters ("_") in the server name.
This is the case for all recent versions of IE that have the patch specified in the above article applied:
Microsoft Internet Explorer version 6 for Windows 2000
Microsoft Internet Explorer version 6 for Windows 98
Microsoft Internet Explorer version 6 for Windows 98 Second Edition
Microsoft Internet Explorer version 6 for Windows NT 4.0
Microsoft Internet Explorer version 6 for Windows XP
Microsoft Internet Explorer version 6 for Windows Millennium Edition
Microsoft Internet Explorer versions 5.5 Service Pack 1 , 5.5 Service Pack 2 , for Windows 95
Microsoft Internet Explorer versions 5.5 Service Pack 1 , 5.5 Service Pack 2 , for Windows 98
Microsoft Internet Explorer versions 5.5 Service Pack 1 , 5.5 Service Pack 2 , for Windows 98 Second Edition
Microsoft Internet Explorer versions 5.5 Service Pack 1 , 5.5 Service Pack 2 , for Windows Millennium Edition
Microsoft Internet Explorer versions 5.01 Service Pack 2 , 5.5 Service Pack 1 , 5.5 Service Pack 2 , for Windows 2000
Microsoft Internet Explorer versions 5.01 Service Pack 2 , 5.5 Service Pack 1 , 5.5 Service Pack 2 , for Windows NT 4.0
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Read through the above article and the links contained within the article for further details on the potential security breaches that may take place if the patch is not applied to your Internet Explorer version. Also link over to MSKB Q319236