Ensure that you don't have a Pop-Up Blocker turned on. Disable it for Salesforce.
Cookies
You have to allow Cookies for Salesforce
You need to disable the option Website tracking: Prevent cross-site tracking as highlighted below:
Internet Explorer does not support sharing call data through multiple TABs.
Required configuration settings
•All Options to save calls (incoming/outgoing) automatically have to be set to N . Automatically saving unsuccessful calls can be set to Y.
Compatibility view must be turned off
IE 11
•Tap or click the Tools button and then tap or click Compatibility View settings.
•Under Add this website, check if there is Salesforce. Remove it