Cookies are a PITA - IE cookies aren't ready by Firefox, or Chrome; Chrome ones aren't read by IE or Firefox; and Firefox cookies aren't read by IE or Chrome.
But that is as nothing to what you are trying to do.
If you look at the documentation for
InternetSetCookie[
^] it says very clearly:
"Cookies created by InternetSetCookie without an expiration date are stored in memory and are available only in the same process that created them. Cookies that include an expiration date are stored in the windows\cookies directory."
And
IESetProtectedModeCookie[
^] if very sepecific about the date time format it requires:
"To create a persistent cookie, add an expires name/value pair to the cookie data. The format of the value must be DAY, DD-MMM-YYYY HH:MM:SS GMT. DAY is a three-letter abbreviation for the day of the week, DD is the day of the month, MMM is a three-letter abbreviation for the month, YYYY is the year, and HH:MM:SS is the time of day in 24-hour format."
So your cookies need an expiry date in order to go into the IE cookie cache, since IE will run in a different process. And the persistent ones need a very specific date format!
But...if your user doesn't have IE installed (and that's pretty likely these days) you can't do anything that will work!