Cookies

Hi, I have read a lot of information on cookies but I'm having a hard time grasping the concept, and what I have read confuses me more. Can someone further explain cookies or point me to a really good tutorial. What I am trying to do is this. I have a login page where a user enters a name and a password (which is compared against a mysql database). If the user logs in successfully, I want to set a cookie, if not an error message is displayed saying login was incorrect. I also want to protect other pages from being accessed if this cookie is not set. What confuses me is where do I set this cookie since it has to be done before any output. I'm not sure what else to say here - but if anyone could put this in plain english it would be appreciated. TIA