A HTTP Cookie consists of a name-value pair and can be set by the server using this response:
HTTP/1.0 200 OK
Content-type: text/html
Set-Cookie: name=value
According to MSDN, cookies name are NOT case sensitive. However, I'm not sure if that's just ASPX/IIS specific implementation. I believe it depends on the web server and the language as well.
If you send a cookie named "UserID", the browser will make sure they send it back as "UserID", not "userid".