I am setting the cookie from a local HTML file as below using cookie.js library
$.cookies.set(\"Demo\",\"Dummy Data\");
From another doma
Indeed, this is not possible because of SOP (Same Origin Policy).
You can solve this problem with cross domain methods like: postMessage, JSONP, xmlHttpRequest or iframe to name a few.
However, you have to be concerned about security issues. This podcast explain how to breack cross domain barrier. The posts below also have solutions for your problem.