I work for an e-commerce site. Part of what we do is to offer customized items to some clients. Recently some non-technical management promised that we could incorporate o
The interstitial page solution should work but it might be a lot of trouble for your hosting site, so here's another solution that will allow you to work cookieless.
Write an HttpModule that responds to the BeginRequest event, reads the querystring, and inserts corresponding cookie headers into the Context.HttpRequest object (Note: you can't use AddCookie, you have to use AddHeader, because cookies added by a module directly are disposed of before they hit your application proper). That way the hosting site can simply issue a request (within the iFrame) that contains the necessary value in the querystring, the module will convert it into a cookie (that only exists in memory, not on the wire), and your application will be deceived into thinking that there's a cookie there. No code changes required, you just need to add the module in web.config.
This only works if you are using IIS 7.0+ in integrated pipeline mode. If you're on an earlier version of IIS or if you have to run in classic mode, you'll need an ISAPI filter instead.