It is helpful to set your browser to alert you when cookies are being sent. That way you know for sure that your cookie exists.
Also, Your cookie will not be avaliable on the page that you set it.
IE 6 has a fairly strict default setting against cookies. Third-party cookies are completely blocked. This means the cookie being set must be from the same site the visitor is viewing.
Cookies cannot be set for other sites, even by using hidden frames.
If you need to share cookie information between sites with different domains, you can use a nasty work-around.
You can use a series of scripts on each site to set a cookie and forward to the next script and return to the original page.
The user won't see the re-directs when Using header("Location: page.php");