Windows 7 and ie8. Here's my attempt:

Private Declare Function SInternetSetCookie Lib "ieframe.dll" _
Alias "IESetProtectedModeCookie" _
(ByVal lpszURL As String, _
ByVal lpszCookieName As String, _
ByVal pszCookieData As String, _
ByVal dwFlags As Long) As Boolean

(here's the MS page that talks about the function: http://msdn.microsoft.com/en-us/library/cc197007%28VS.85%29.aspx )

I can't seem to get it to work. I get no error message - it just doesn't set a cookie. I check with Fiddler as I have not been able to find any tool that I can use to easily view cookies in ie 8.

Any help much appreciated.