It seems IE (7 & 8) ignores ci_sessions.
The solution: http://stackoverflow.com/questions/8850960/codeigniter-ie-not-storing-sessions-correctly
From what I have read on this topic, there is indeed an issue with underscores, but it appears when you have them in your website's "hostname". And it's logical, because that's not a valid domain name. This basically means that if you put something like this:
... in /etc/hosts (I believe it's C:\Windows\system\etc\hosts for Windows) - it won't work.
This "fix" for the cookie name might work for some people, but it's most likely due to collisions with other cookies with the same name.