waswas-fng is correct, you cannot. One trick is to get site1 to send the cookie by having it display an image, say, from site2. (Then site2 actually sends the cookie.) You can even pass params to images if necessary! Consider: <img src="http://www.site2.com/images/foo.png?from=site1">
Of course, the image could be a 1x1 pixel image...
This is called a third party cookie and is disallowed under the default IE6 privacy rules. This will impact your use of cookies as a method of passing information across domains.
If I view the IE6 privacy report for this very site I can see that there are a few cookies that have been blocked.