I just had this issue few moments ago.
Aparently, if you try to login from your DIRECT URL, it works. If you use a different domain DNS name, problems begin.
Here's my example.
My blog is located at http://witch.dyndns.org/wp/
if I use this URL to login (with the wp-admin/) it works well.
However, if I use my other domain name and URL (http://benhamo.org/wp/), it barfs about cookie issues.
If I remember correctly, this problem wasn't appearing prior to the cookie issues which were resolved lately (and broke this behavior).