I've got the following:
User clicks on a link mydomain.com/redirect.php where gets a cookie (for mydomain.com) via setcookie function and then goes to another page (header('Location: ...');) - say lp.html
Then, on that page there is a script:
gs('mydomain.com/getcookie.php', 'client=52', function() {}); and this function is as follows:
gs = function(path, args, fn) {
        var p = document.head || document.getElementsByTagName("head")[0]
        var s = document.createElement("script");
        p.appendChild(s);
        if (fn) {
            if (s.addEventListener) {
                s.addEventListener('load', fn, false);
            } else if (s.attachEvent) {
                s.attachEvent("onload", function() {
                    fn(window.event)
                });
            } else {
                s["onload"] = fn;
            }
            s.onreadystatechange = function() {
                fn()
            }
        }
        s.src = path + "?" + args;
}
The getcookie.php script gets a value from $_COOKIE (since it's on my domain) and returns a small js, like this: myParam = 'cookieValue'; for later use in js.
So, this works well... except Internet Explorer. It works there only if I manually allow it to accept all cookies.
answer: (thanks to duellsy)
adding
header('P3P: CP="CAO PSA OUR"');
header('P3P: CP="HONK"');