Not a bug, from the manual (http://uk.php.net/manual/en/function.setcookie.php):

 Common Pitfalls:

    *

      Cookies will not become visible until the next loading of a page that the cookie should be visible for.

That only applies when you are trying to access the cookie from the same page that wrote it.  Since cookie information is sent to the server from the client with the header information, the server cant get the cookie until the header information is sent to it (eg from a page request, refresh, header redirect, etc).

That's somewhat different than setcookie() outright not working on win2k/iis5 :)