To set a cookie with SSJS:

Platform.Response.SetCookie("MyCookie", "MyCookieValue");

The SetCookie function has a few overloaded variants:

SetCookie(string name, string value)
SetCookie(string name, string value, DateTime expirationDate)
SetCookie(string name, string value, bool secureOnly)
SetCookie(string name, string value, DateTime expirationDate, bool secureOnly)

David's correct. You can do it by setting the HTTP Header, but there's a more intuitive function out there. To set a cookie with SSJS:

Platform.Response.SetCookie("MyCookie", "MyCookieValue");

The SetCookie function has a few overloaded variants:

SetCookie(string name, string value)
SetCookie(string name, string value, DateTime expirationDate)
SetCookie(string name, string value, bool secureOnly)
SetCookie(string name, string value, DateTime expirationDate, bool secureOnly)