Just recently there have been more replies to my message posted almost a year ago now. I thought I'd follow up on my original posting, because I finally did manage to get my problem sorted out.
As it turns out, it all comes down to syntax. The ONLY way I can set a cookie on my Win2000/Apache/PHP4 installation is like this:
setcookie('cookieName', '$value', 0, '/', '', 0);
or
setcookie('cookieName', '"value"', 0, '/', '', 0);
or to kill the cookie:
setcookie('CookieName', '', 0, '/', '', 0);
The third argument (0) specifies that the cookie should expire when the user closes his browser. So replace this value with something like time()+7776000 to have it expire after 90 days or something.