I'm not sure if this is an exact scenario as what you are experiencing and maybe someone else might know the reason. But I was trying to do something similar, I was trying to set a cookie to be read by the target. Even on the same domain with the domain attribute set I was unable to read it. Doing some testing I basically found out that in the IFrame cookies were unreadable (ASP session variables as well). Once I determined it wasn't going to work I went on an alternative route specific to my site I was linking too.

If I recall it just boils down to browser security and the IFrame. Perhaps you can setup cookieless authentication on the help desk app?

What u suggested was really a success..! Internet security will take a major role.. as a solution what have to be done is make the Intranet Security setting for low , it will display the contents