There are two sections in the Mendix documentation that may help you resolve this issue:
https://docs.mendix.com/developerportal/deploy/running-in-iframe/ and
https://docs.mendix.com/developerportal/deploy/environments-details/#iframe
The error message you are getting could be caused by some server settings that need to be changed and/or browser settings you will need to change on your machine.
Hope that helps.
Hi Mohamed,
Check your browser and set 'Block Third Party Cookies' to false. This solved it for me.