I have found what the issue is with this:
1) You may have added this site to the "blocked cookie list" - delete it from there
IE: tools > internet options > privacy > sites > look under managed sites
If your site is there, delete it
2) Make sure your browser is accepting cookies for this site
Between the login and the re-direct to the correct admin page it seems like WP reads
the cookie, if it ain't there, it will just redirect to the wp-admin page again
IE: tools > internet options > privacy > sites > in address of website type your
url with http:// in front and click "allow"
3) Test by setting your security level to low.
IE: tools > internet options > privacy > drag lever down to "accept all cookies"
You may need to apply just 1 or all of them for it to work.
Hope you get it working & God Bless