try
$cookie_name = "auth";
$cookie_value = "ok";
$cookie_expire = 0;
$cookie_path = "/admin";
setcookie($cookie_name, $cookie_value, $cookie_expire, $cookie_path);
expire should be 0 if you want it to be only while the browser is open.
I have taken out the domain since I think the asterisks may be a problem. If you need the domain specified then take it from the server vars array ($_SERVER).
Hope that this helps.