Make cross-domain request to Set Cookies

hi.
I have integrated Third party advertise module in my website. their domain is "http://rotator.adjuggler.com/".
they read cookie from this domain and display advertise based on cookies value. now I want to set cookies on  this domain from my website.
though this is not possible. they have provided  url to set cookies.
http://rotator.adjuggler.com/servlet/cookie?action=set&name=test&value=1&maxage=2592000

we can set cookies on their doemain by calling above ur.


Problem:
1) we can't make xmlHttp request because this is cross-doamin link.
2) we can't use jquery because it uses xmlHttp as native implementation.
3) i have tried to set above url in <img src="..." > and <script src="...">. both not working.
but w ...