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Hehehe, that was a little premature it seems. That trick made perfect sense to me, unfortunately that darn ZoneAlarm is still blocking cookies. Which is probably because they come from Apache and the PHP engine, so there might be something to be set in their configuration files.
In any case, once the cookie is set, my tweak lets me bring up the firewall again and navigate my local XOOPS site ... until the cookie expires, that is. Perhaps, someone can take it from here if there's interest...