Can't get cookie while processing an image request?

[eluser]majidmx[/eluser]
Hi,
I'm doing an affiliate/ad system with Codeigniter.

User clicks on an ad, which goes to our website [www.mysite.com] and there I'll set cookie information for all the necessary info and redirect him to the main target website [www.targetweb.com].

After a sale is made in target website I want to get notified, through a pixel image. [any suggestions for other ways ?!]

I call a script in my website [www.mysite.com/index.php/sale/sale.png] which get the previously set cookies information and process and finally force download an image.

In firefox the cookie information are sent but in IE not.
In IE when a page in www.targetweb.com request an image from www.mysite.com , the corresponding cookies for mysite.com are not sent.

[All the cookies domain are set site-wide to ".mysite.com"]

Do you have any Idea ?!
Or any other way to do this ?!
Any idea will help me a lot

Thanks,
MajiD