Well cookies can always be intercepted or copied ! I think MSIE and Firefox and others do not like it when you introduce a new cookie by yourself, but that doesn't mean "protection" !
That's why you must NEVER store a password in a cookie...
Personally, I send a unique ID which is associated with a user in a MySQL database, and in the database, I also write the IP and the Browser... that's not very secure, but the unique ID changes every time a page is loaded, so the contents of the cookie changes too...