This function creates a cookie associated with the specified URL.
BOOL InternetSetCookie( LPCTSTR lpszUrl, LPCTSTR lpszCookieName, LPCTSTR lpszCookieData );
[in] Address of a null-terminated string that specifies the URL for which the cookie should be set.
[in] Address of a string that contains the name to associate with the cookie data. If this parameter is NULL, no name is associated with the cookie.
[in] Address of the actual data to associate with the URL.
Persistent cookies, which have an expiration date, are stored in the location specified in the HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Shell Folders registry key. The default location is Windows\Profiles\Guest\Cookies. Session cookies, which do not have an expiration date, are stored in memory and are available only to the process in which they were created.
Creating a new cookie might cause a dialog box to appear on the screen if the appropriate registry value, AllowCookies, is set. There is no way to change the registry value from a WinInet function in Windows Embedded CE.