Hi Patrick,
I don't understand why the print() function is not returning anything. Have you set the value of the cookie? If $FirstName is an empty string, isset() will still return true (1), and this would explain the print problem.
I found no mention of a HTTP_COOKIE_DATA constant in the PHP manual. There is, however, a predefined variable $HTTP_COOKIE_VARS, which might be worth a look at.
Regards,
David