If you installed IE8 and tried running two separate Sitecore sessions in different processes, you may have experienced this as well.
IE8 shares the cookies between two different processes (windows) now so this may bring you inconvenience especially during the development process.

There are solutions out there which address the problem with special "-nomerge" parameter, but I decided to apply the registry fix directly so all my IE launches will not use this new "FrameMerging" feature that supposedly improves performance.

Related reading:

http://www.microsoft.com/communities/newsgroups/list/en-us/default.aspx?dg=microsoft.public.internetexplorer.beta&tid=3d227efa-d0a1-4ec7-896e-2722c4026e62&cat=&lang=&cr=&sloc=&p=1

Registry fix from the article above:
HKCU\software\microsoft\internet explorer\main - FrameMerging = DWORD:0

Update 2/29/2012:

The registry key that disables this mess once and forever is actually called “SessionMerging” which can be found under:
_HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Main_ SessionMerging = DWORD:0

Works for IE9 too!