Actually, I am experiencing this problem with 2.0.36 and 4.2.1. I have used the 'cookietest.php' with the same result, though -- only the second cookie is set.

I will upgrade to 2.0.39 and 4.2.2 shortly, due to the security risk. But according to this thread, I will likely still have this problem.

It is not a firewall issue. There are no firewalls between the machines. I had this problem when the machine was still on my LAN, and I tried a variety of browsers, all of which have no problem with cookies elsewhere.

http://discussion.org/ubbthreads/cookietest.php

Try for yourself.