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Depending on your OS version, the Enhanced Write Filter may need to be used to save any changes to the C:. By default anything you change is lost, but you can write that data once to the drive so it stays. Does this cookie need set once, or each time they use it will something change?
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Depending on your OS version, the Enhanced Write Filter may need to be used to save any changes to the C:. By default anything you change is lost, but you can write that data once to the drive so it stays. Does this cookie need set once, or each time they use it will something change?

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The Enhanced Write Filter is disabled. First thing I checked.
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The Enhanced Write Filter is disabled. First thing I checked.

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As a test, can you connect a usb drive to the computer and map the temp files to that drive. 
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As a test, can you connect a usb drive to the computer and map the temp files to that drive.

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Came up with my own solution
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I am trying to set up several HP Thin Client t5740e as kiosks. Vendors will come it an check in via a web page that is dependent on a cookie to know what location they are checking in at. The problem is IE is setup oddly on here and temporary internet files, including cookies, do not survive a reboot. Initially all the environment variables were pointing at a RAM drive called Z: but I have pointed them all at C: and have made sure that device is not locked in HP's Device Manager. In the Tools -&gt; Internet Options I've made sure that temporary Internet Files is also pointing to C:
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I am trying to set up several HP Thin Client t5740e as kiosks. Vendors will come it an check in via a web page that is dependent on a cookie to know what location they are checking in at. The problem is IE is setup oddly on here and temporary internet files, including cookies, do not survive a reboot. Initially all the environment variables were pointing at a RAM drive called Z: but I have pointed them all at C: and have made sure that device is not locked in HP's Device Manager. In the Tools -> Internet Options I've made sure that temporary Internet Files is also pointing to C:

IE Temp Files on HP Thin Client Running Windows 7 Embedded

Windows 7 is an operating system from Microsoft. Features include multi-touch support, a redesigned Windows Shell with a new taskbar, referred to as the Superbar, a home networking system called HomeGroup, and performance improvements.