>Title line says it all - I'm writing an application in Visual Basic 2008 and I'd like to set a cookie during execution. The problem is that the documentation for doing so that I've found so far is about as clear as mud. A lot of it refers to a "Response" object, but never shows how that object is instantiated.
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>Most of the docs seem to assume that I've also got ASP.NET involved, which is not the case - basically, I'm writing a miniature browser inside my application and the site that I'm dealing with has sent to me a key to set as a cookie. I just need to figure out how.

The cookie is set on the server side. At least, this is how I always do it.