As people say .. you can't. However, try the following:
1. Create a script setcookie.pl on Server B. It would be something like:

if ($ENV{HTTP_REFERER}=~/ServerA/) {
    print "Coookie: ".$ENV{QUERY_STRING}."\n\n";
}
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2. On Server A, whenever you set a cookie, send the cookie information to server B by using a javascript like:

var temp=new Image;
temp.src="http://ServerB/cgi-bin/setcookie.pl?$yourCookieString";
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The javascript will load the 'image', but it never displays it, thus you'll not get any strange errors. Server B will set the cookie when it is called. This might not work as is: I've not tried it. However the concept should work.