One limitation of Flex is that you're not able to create session variables or cookies using actionscript. Flex and Flash do have their own cookie substitute, Local Shared Objects, however LSOs can only be used within the Flex app that created them and they definitely can't be read by the browser itself.
But let's say you have a situation where you have a user login in your Flex app and you want that login to carry over to other pages on your site. The website already contains it's own login which creates a session variable or cookie to determine whether the user has been logged in. What you want to do is create that same variable when the user logs into your Flex app so that when they browse to other pages in your site they stay logged in.
This can be solved pretty easily using a hidden frame on the same page as your Flex app. Just add a simple iframe tag to your page:
<iframe name="loginHide" frameborder="0" width="700" scrolling="no" height="0"></iframe>
Then create a page that accepts login info in the query string and uses that info to create the session or cookie (the same as your login page). When the user logs in to your Flex app, send the login info to the page you created and target the hidden iframe: