Ya, it is possible, but not likely to be effective. Especially now that IE6 has a default setting to reject those types of "3rd party cookies". You'll set the cookie fine, but the new domain will only be able to read it about half the time. People will default to rejecting those types of cookies with IE6.
Most of the alternatives I can think of would deal with a script. You could stuff form values in a redirect domain.com/foo.cgi?where=Iwashere or something. Then foo.cgi handles the form value and transforms it into a cookie or what ever purpose you need it.