It seems you're not the only one: http://groups.google.nl/group/Gmail-Problem-solving/browse_thread/thread/ffbab8941f3ccc4f/2b666ac773c66c8%232b666ac773c66c8

The instruction on the google faqs only goes for Netscape 7:
If you have Netscape 7, click ''Edit'', select ''Preferences...'', select
''Privacy & Security'', select ''Cookies'', and see what setting you have
for cookies. If the setting for cookies is ''Disable cookies'', you
can't allow cookies for Google or any other website. If you are
willing to receive cookies, change to some other setting, for example
''Enable cookies for the originating web site only'', and click ''OK''.
If that doesn't help, then you might have accidently blocked cookies
for google.com. To see if that has happened, click ''Edit'', select
''Preferences...'', select ''Privacy & Security'', select ''Cookies'', push
''Manage Stored Cookies'', click ''Cookie Sites'' tab, click
www.google.com, and push ''Remove Site''.

If that doesn't work, and you've got no other problems with cookies (like on this site) I'm inclined to say that you don't do anything wrong.
It's either Netscape or gmail doing something wrong then. Contact gmail seems the thing to do. Netscape 7.1+ should be supported by them.

Kees