Lets look over the setcookie function in php:
setcookie ( string name [, string value [, int expire [, string path [, string domain [, int secure]]]]] ), the third param is the path, lets look over the path param from the php manual:
path - The path on the server in which the cookie will be available on. If set to '/', the cookie will be available within the entire domain. If set to '/foo/', the cookie will only be available within the /foo/ directory and all sub-directories such as /foo/bar/ of domain. The default value is the current directory that the cookie is being set in.
Lets see the forth param:
domain - The domain that the cookie is available. To make the cookie available on all subdomains of example.com then you'd set it to '.example.com'. The . is not required but makes it compatible with more browsers. Setting it to www.example.com will make the cookie only available in the www subdomain.
So I don't think u can set a cookie for more that one domain ...