I need to set a cookie before I issue a request to a Web site using Fiddler. How do I do this?
You need to be more specific about what you're trying to do.
You can edit (or add) an outbound Cookie header to send a cookie to the website. You can do this either manually or via the FiddlerScript engine. But that doesn't "set" the cookie on the client-- it simply sends it to the server. If you want to set a cookie on the client, you either have to use another means, or you can inject a Set-Cookie response header on a previous response from the server, with the value you want to set on the client.