I get the following error message when logging into my google account through the iframe module: Your browser's cookie functionality is turned off. Please turn it on. [?]

It's actually not that difficult to fight :)

By default, IE is set up to deny thrid-party cookies. This means that if you put a different domain page inside the IFrame, those pages will not be allowed to handle cookies. You can turn it on by going to Tools > Internet Options > Privacy > Settings and turn on Override automatic cookie handling and select Accept third party cookies. 

If you control the page you are displaying inside the IFrame - then, yes - just check for cookie permissions via javascript and, if it's off, display a message. However, I am not sure if there is a programmatic way to check for that sort of problem on your host page. Perhaps you can always include a tiny text somewhere on the side?