How can I set a cookie in a request using Fiddler?

Simple...You need to set a header value, with your request, like so:

Cookie: YourCookieName=YourCookieValue

To do this using the FiddlerScript engine, add the following code into the onBeforeRequest method:

oSession.oRequest["Cookie"] = (oSession.oRequest["Cookie"] + ";YourCookieName=YourCookieValue");

This will preserve any other cookies that have been set.