I've done something similiar in the the past to drawmack's suggestion (sorry drawmack, for butting in. I'm in a helpful mood tonight ;-)
Off the top of my head, this might work...
session_start();
$somevar = "someval";
if (!isset($_SESSION['somevar']) && !isset($_GET['chk'])) {
$_SESSION['somevar'] = $somevar;
Header("Location: {$_SERVER['PHP_SELF']}?chk=1");
} else {
if ($_SESSION['somevar'] != $somevar)
Header("Location: nocookies.php");
}
P.S. There's probably a better way to do the redirect without having to rely on the ?chk=1 showing up everytime if you put your imagination to it. Hope this gives you the gist though. The gist being that since sessions require a cookie, you can use them to test if a cookie can be written to the browser.