The web has got the whole ‘multiple versions of IE’ fairly well documented already, but you have to scroll way down to the bottom of the second article to see that if you want cookies to work, you’ll have to download wininet.dll from Microsoft.

So the full directions:

1. Download IE 5.0 or IE 5.5
2. Use a zip utility to unpack either / both of the above zip files.
3. Download wininet.dll from microsoft.com.
4. Use a zip utility to unpack the .exe file that you downloaded in step 3.
5. Copy the resulting Wininet.dll from step 4 to the location that you unzipped the IE files in step 2.
6. Start up IE and go!