As you can read from the following post Underscores are evil: IE may block SP from using session cookies by Sean, it's not recommended to use underscores in your hostnames / urls together with SharePoint (or any other webapp that depends on cookies). And here is why plus how you can fix it if you used an underscore :
Historically, the underscore character has been allowable for NetBIOS names but not allowable as host names according to RFC 1132 [ http://www.ietf.org/rfc/rfc1123.txt ] except as the *first* character in certain circumstances. Over the years as Microsoft has taken various positions toward standards compliancy there has been inconsistency across MS implimentations. Additionally, the underscore has widely and popularly used in DNS hostnames in spite of the RFC restrictions.
DON'T just rename your machine. The machine name is hard-coded throughout the SharePoint config files and database and throughout the registry for various applications.
DO set up an Alternate Access Mapping so that users can interact with the site using a different URL. Go to Central Administration > Operations > Alternate Access Mappings and use the Add Internal URLs option. For a quick fix, i just added a new hostname to our internal DNS and then added the FQDN as an Internal URL for the "Intranet" zone.
So thanks Sean! :)