Can't install Gateway on Azure VM. Error message is about cookies, but I don't think it's accurate

[bbbm]

Getting this message when trying to sign into the standard gateway

Cookies are enabled in Internet Explorer - also turned off the popup blocker.  Tried uninstallling/re-running as admin - same error message. 

I suspect it's a false-error emssage, and the real problem is our firewall.  Our VMs start with 0 internet access, and any opening has to be approved.  I requested security follow this: https://docs.microsoft.com/en-us/data-integration/gateway/service-gateway-communication

But maybe something else is needed to authenticate against Azure Active Directory? 

Or it's something else entirely...I'm open to ideas!

[bbbm · Accepted solution]

Ok, needed to do two things: 

Open up IE, and add these 2 trusted sites: 
https://login.live.com
https://login.microsoftonline.com

Allow this site to get through the firewall:
OurCompanyNameHere-onmicrosoft-com.access.mcas.ms

[bbbm]

Update: 

Adding these 2 sites, to the trusted sites in Internet Explorer, gets me through signin and just past 2FA - but then the login window just hangs. 

https://login.live.com

https://login.microsoftonline.com