The first step that you should do to resolve this bug is check your system.log file.
In my case error looks like this:
Warning: Header may not contain more than a single header, new line detected in D:\Zend\Apache2\htdocs\project1\app\code\core\Mage\Core\Model\Session\Abstract\Varien.php on line 123
Warning: Header may not contain more than a single header, new line detected in D:\Zend\Apache2\htdocs\project1\app\code\core\Mage\Core\Model\Cookie.php on line 307
Warning: Header may not contain more than a single header, new line detected in D:\Zend\Apache2\htdocs\project1\app\code\core\Mage\Core\Model\Cookie.php on line 308
Warning: Header may not contain more than a single header, new line detected in D:\Zend\Apache2\htdocs\project1\app\code\core\Mage\Core\Model\Session\Abstract\Varien.php on line 436

Problem should disappear, after change value of web/cookie/cookie_domain in core_config_data table, or just delete it.