You can't set the cookies from iframe by default - to do that, add header to the page inside iframe:

Cookie name: P3P

Cookie value: policyref=\"/w3c/p3p.xml\", CP=\"NOI DSP COR NID CUR ADM DEV OUR BUS\"

If you happen to have mod_headers installed for apache, use following to set it for every page served:

Header append P3P "policyref=\"/w3c/p3p.xml\", CP=\"NOI DSP COR NID CUR ADM DEV OUR BUS\""