It appears that setting the cookie's domain propery is causing the problem. If found, barried deep in the code, that the cookie's domain was being set. Although, there's one thing that I'm not clear on. When I set the domain to an IP address it works fine, but if I use a DNS name the cookie disappears. Could this be a DNS lookup problem? For now I have no need to share the cookie with any other sites so I'm not setting the domain property.
Thanks for your help and suggestions...