You delete it by setting it the same way. Just use - instead of +.
For instance when I have my members login(I run a clan site @ http://www.elitegaming.org/btb/ for counter-strike) I set a cookie by
setcookie ("BTB_MEMBER_NAME", $member, time()+3600);
setcookie ("BTB_MEMBER_PASSWORD", $password, time()+3600);
}
when they logout it does the exact opposite thus deleting the cookie
setcookie ("BTB_MEMBER_NAME", $member, time()-3600);
setcookie ("BTB_MEMBER_PASSWORD", $password, time()-3600);