I found something interesting.
If I try to login using in IE when sitefinity is running through SitefinityProjectManager internal web site (http:localhost://16258:....) , it works.
However, when i access sitefinity through the website created in IIS 7.5 ( http://MySite/.... with the hosts file containing 127.0.0.1 MySite) then it fails.
Both work with Firefox/Chrome.
EDIT: IE also works if I create a web app inside the Default Web Site.
Any idea why ?