So it works now? If not, it's most definately related to some setting in ZoneAlarm Pro you seem to be using. I don't have that program, but you probably need to add rpgwatch.com as a private site and maybe allow those private headers you mentioned (or 3rd party cookies?). No idea what those are, but I can assure you that we don't do weird stuff at the 'Watch.
I got these hints from a page I found with more information and a manual for adding a site to make it work:
Zone Alarm Pro Blocking Private Header Information. Good luck.