Code:

procedure TwebDispatcher.WebAction(Sender: TObject; Request: TWebRequest;

Response: TWebResponse; var Handled: Boolean);

begin

   with (Response.Cookies.Add) do begin

     Name := 'TESTNAME';

     Value := 'TESTVALUE';

     Secure := False;

     Expires := Now;

     Response.Cookies.WebResponse.SendResponse;

   end;

end;