perhaps try a little javascript in the mix.
make a php script that will just unset the cookie and try something like this:
<script language="javascript">
function leave() {
window.open("killcookie.php");
}
</script>
in your body tag put:
<body onUnload="leave();">
in the killcookie.php do
<?php
@setcookie("cookiename", "", time() - 1);
?>
<script language="javascript">
window.close();
</script>
make sure the setcookie is at the very top though or it will give an error.
