Writing cookie at SharePoint Application startup

Scenario:
You want to write a Cookie value when SharePoint application is accessed by user.

Solution:
SharePoint being an ASP.Net Application, you can stuff some code in Global.asax file which is location in the WebApplication folder.

Code(Global.asax):

<%@ Assembly Name="Microsoft.SharePoint"%>
<%@ Application Language="C#" Inherits="Microsoft.SharePoint.ApplicationRuntime.SPHttpApplication" %>
<%@ Import Namespace="System.Web" %>

<SCRIPT language="C#" runat="server">
protected void Application_AuthenticateRequest(Object sender, EventArgs e)
{
  try
  {
      HttpContext ctx = HttpContext.Current;
      HttpCookie newCookie = new HttpCookie("LoggedInUser",ctx.User.Identity.Name);
      newCookie.Expires = DateTime.Now.AddYears(1);
      Response.Cookies.Add(newCookie);

  }
  catch (Exception)
  {
 // Eat the exception so that the site is still usable
 // even if the stats go down from some reason.
  }
}
</SCRIPT>

Article:
http://msdn.microsoft.com/en-us/library/aa287547(VS.71).aspx