This shouldn't be a problem. Here is what I used in a script this morning, and it works a treat.
// Fake the cookie
lr_save_timestamp("pTimeStamp", "DIGITS=13");
web_add_cookie("atg.allwindows.lastrequest={pTimeStamp}; DOMAIN={pHost}");
After you have added your fake cookie, replay the script and have a look in the Snapshot view and verify your cookie is used (I prefer using the split screen option so I can directly compare the recording to the replayed script).
