W3 Total Cache problem

Hi everyone!

I have just activated W3 Total Cache. At the admin side everything seems to work well. However my site’s speed did not improved so I turned on debugging mode. Here is the result:

<!-- W3 Total Cache: Page cache debug info:
Engine:             disk (enhanced)
Key:                mydomain.com/......
Caching:            disabled
Reject reason:      cookie is rejected
Status:             not cached
Creation Time:      0.525s
Header info:
X-Powered-By:       W3 Total Cache/0.8.5.1
X-Pingback:         https://mydomain.com/xmlrpc.php
Expires:            Wed, 11 Jan 1984 05:00:00 GMT
Last-Modified:      Sun, 28 Feb 2010 15:17:59 GMT
Cache-Control:      no-cache, must-revalidate, max-age=0
Pragma:             no-cache
Content-Type:       text/html; charset=UTF-8
-->

From “Caching: disabled” I guess it doesn’t work:) Am I right? What can be the problem? Caching IS allowed in wp-config.php.

Thanks