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Default Run time error "5"

"Invalid procedure call or argument" is what I am getting when accessing the
internet to pull data.

I am using windows 7 now with IE v.8 . When I had vista on my computer and
I believe v. 7 of IE it worked fine as long as the ability to block cookie
was turned off. Now in addition to the error above It also says, "This
function requires that cookies be turned on" in IE even though I have I set
security to medium, privacy for cookies to allow all, and entered the website
I am pulling from into the list of trusted sites.
Any suggestions at all? So far I have gone to Microsofts site, looked into
all that they had to say along with the answers to question search and I have
searched the entire web for the "This function requires that cookies be
turned on" error in IE.
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Thank you!
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