Setting cookies?

Hmm hi,
I was wondering,
if I wanted to make an application that my clients can use to log into and
out of accounts on the web, for example on a vBulletin forum, how can I do
this with cookies?
For example, one has two forumaccounts on some online forum, how can I make
my application log in and out of those accounts ánd place a cookie that is
valid in Internet Explorer as well (with the Delphi-internet-componentset or
the Indy-components)?

In the helpfunctions I have found little reference to cookies at all.