Here are some interesting sites that might help you set up cookies in Mozilla browser if you are using LINUX as your operating system:

Linux Reviews - Configuring cookie access in Mozilla 1.x/Firefox 9.x
http://linuxreviews.org/software/browsers/mozilla/part_09_Privacy/

Customizing Mozilla Preferences in Red Hat Linux 7.2
http://www.redhat.com/docs/manuals/linux/RHL-7.2-Manual/getting-started-guide/mozilla-preferences.html

Using the Mozilla Cookie Manager
http://www.mozilla.org/projects/security/pki/psm/help_21/using_priv_help.html

Customizing Mozilla
http://ccrma.stanford.edu/guides/planetccrma/Customizing.html