How to set a cookie for another domain

You cannot set cookies for another domain. Allowing this would present an enormous security flaw.

You need to get b.com to set the cookie. If a.com redirect the user to b.com/setcookie.php?c=value

The setcookie script could contain the following to set the cookie and redirect to the correct page on b.com

<?php
    setcookie('a', $_GET['c']);
    header("Location: b.com/landingpage.php");
?>

In case you have a.my-company.com and b.my-company.com instead of just a.com and b.com you can issue a cookie for .my-company.com domain - it will be accepted and sent to both of the domains.

Probaly you can use Iframe for this. Facebook probably uses this technique. You can read more on this here. Stackoverflow uses similar technique, but with HTML5 local storage, more on this on their blog

Similar to the top answer, but instead of redirecting to the page and back again which will cause a bad user experience you can set an image on domain A.

<img src="http://www.example.com/cookie.php?val=123" style="display:none;">

And then on domain B that is example.com in cookie.php you'll have the following code:

<?php
    setcookie('a', $_GET['val']);
?>

Hattip to Subin