IE browsers (IE7 and IE8) in combination with Windows Vista or Windows 7 have an additional security setting: Protected Mode / Protected Zones.
When protected mode in IE is activated the SMSESSION Cookie is set for the Trusted Zone, but is not transferred to the application in the Intranet Zone, which results in a redirect back to the login where a never ending cycle starts. Users simply can't login and use the application.
If any mode of the browser stops the handling of cookies then siteminder will not work with it as it requires the cookie to be used in all communication to the server.
As this mode is not letting the cookie through, it will not work with SieMinder.
If the mode allows you specify cookies to be forwarded etc then siteminder will work.