The underscore character in site names and cookies

Faced today with an interesting problem that brazenly devoured 1.5 hours of precious time. I hope to help others avoid the same fate. :-)

1) The underscore _ in the domain / subdomain name cannot be used, this is an incorrect address and most DNS will not allow you to create such a record. I managed. :-)
2) IE will normally walk on such a site, but will not send cookies . FF will be. The investigation of this fact and took all the time. The problem was solved by registering another subdomain without _ :-)

IE0005: By-design. Setting cookies fails when the hostname of the server contains an underscore.

This happens because the machine name contains an underscore, technically prohibited by DNS rules (LetterDigitsHyphen) and hence blocked. This issue is mostly relevant for Intranet sites; most DNS systems will prohibit use of underscores in hostnames due to the LDH rule. See support.microsoft.com/kb/909264 for more info.