http://it2.php.net/manual/en/function.setcookie.php

Common Pitfalls:

* Cookies will not become visible until the next loading of a page that the cookie should be visible for. To test if a cookie was successfully set, check for the cookie on a next loading page before the cookie expires. Expire time is set via the expire parameter. A nice way to debug the existence of cookies is by simply calling print_r($_COOKIE);.
e' normale che il proprio cookie sia visibile "dopo" averlo inviato.