I havent tried to use windows 2003, however, if it works well in win2k, it should work well in win2003, too.
To set cookies, there's no security authentication required, as long as user's browser is set to accept cookies, your website should be able to throw any cookies to user, for sure.
Would you mind posting your scripts here? Just in case you made some errors before migrating to win2003. 🙂