My UW-Madison - Firewall and Login Issues
This document explains that firewalls can prohibit users from logging into My-UW.
When a user is returned immediately to the My UW login page after supplying a valid NetID and password, the culprit could be firewall software on the user's PC or network. A firewall product, such as Zone Alarm, can cause this if it is configured to not allow 3rd party cookies to pass through. In the case of Zone Alarm, the configuration can be changed to allow 3rd party cookies to pass through, which solves the problem.