Cookies are maintaining on client's browser not in the server.
If you need to use server side state ,you have to use
Session State.
Quote:
A cookie is a small bit of text that accompanies requests and pages as they go between the Web server and browser. The cookie contains information the Web application can read whenever the user visits the site.
For example, if a user requests a page from your site and your application sends not just a page, but also a cookie containing the date and time, when the user's browser gets the page, the browser also gets the cookie, which it stores in a folder on the user's hard disk.
For more info :
http://msdn.microsoft.com/en-us/library/ms178194(v=vs.90).aspx[
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More about Session State:
http://msdn.microsoft.com/en-us/library/ms972429.aspx[
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I hope this will help to you.