TL;DR
In this post I will explain my heuristic how I solved issue that was indicated with misleading error message.
Error message was very simple: in order to be able to log in to our site, cookies must be enabled in your browser.
Cookies are pieces of information that also contain session information for your website. Using them, you do not need to enter username/password for every page of the site.
The problem was that cookies were enabled in my browser. Error message itself was wrong. Developer put this message because he only knew that cookies could be filtered in browser. Better message would be:
“We did not received cookie with session for this site. Something filters your cookie.”
My heuristic was, who can also filter cookies? And I remembered that my firewall has that option. I unchecked that option, and that was it.
The issue here is that I kept try to login, after I checked misleading error message instructions. In order to save your precious time, think about your problem. You will definitely learn something new.