Unfortunately, the answer is yes, they do - or, at least, Google does.
According to Dean Hachamovitch, VP of Internet Explorer, the mechanism Google uses to do it is different from that used for Safari, as the company bypasses the P3P Privacy Protection feature in IE.
"By default, IE blocks third-party cookies unless the site presents a P3P Compact Policy Statement indicating how the site will use the cookie and that the site’s use does not include tracking the user," he explains. "Google’s P3P policy causes Internet Explorer to accept Google’s cookies even though the policy does not state Google’s intent."
The P3P policies contain tokens that indicate how the cookies will be used - for example, the "TAI" token says that "Information may be used to tailor or modify content or design of the site where the information is used only for a single visit to the site and not used for any kind of future customization."
But Google's P3P policy does not contain any of the accepted tokens - it is, in fact, not a P3P policy but a statement that cannot be understood by the browser:
"P3P-compliant browsers interpret Google’s policy as indicating that the cookie will not be used for any tracking purpose or any purpose at all. By sending this text, Google bypasses the cookie protection and enables its third-party cookies to be allowed rather than blocked," points out Hachamovitch.
He then adds that Internet Explorer 9 has an additional privacy feature called Tracking Protection which is not susceptible to this type of bypass, and recommends users to upgrade to that version and to add a Tracking Protection List in order to protect themselves from Google recording their browsing activity. Alternatively, users can make their IE browser block all cookies from Google sites through the browser's settings.
Google reacted to the claim by saying that even Microsoft knows that it is impractical to comply with their request to use the 10-year-old “self-declaration” protocol while providing modern web functionality.
"We have been open about our approach, as have many other websites," says Google's VP of communications and policy Rachel Whetstone, alluding to an entry on its support site.
Also, according to Carnegie Mellon University's professor Lorrie Faith Cranor, a great number of websites use inapplicable compact policies to bypass Internet Explorer's cookie blocking, so Google is definitely not the only one. "Companies have discovered that they can lie in their CPs and nobody bothers to do anything about it," she commented.