How do I set up cookies?

You would need to set up Marketo's Munchkin web tracking on the page. Here's how:
community.marketo.com/MarketoTutorial?id=kA250000000Kz1aCAC

Make sure that your Marketo cookie is on your main web site, blog etc as all these interactions can be tracked as interesting moments, and included in lead scoring. It's hugely helpful for tracking the buyer journey for anonymous leads and can provide turn up some important lead sources. I wrote a linkedin in post about this you can read here: 
https://www.linkedin.com/pulse/article/20140928182719-18012653-how-to-find-great-leads-now-outside-of-lead-scoring?trk=prof-post