help on PWS problem

I'm starting up with dynamic web pages and have got most stuff working OK
(PWS in win98).
However, when I try to use cookies it all goes wrong.

If I use
<% Response.Cookies("firstName")="fred" %>
the browser throws a tantrum and tries to connect to the web (modem). If I dont let it, then
an error page loads saying something about html header already written.

Everything else works fine,(eg I can do Response.Write commands, querystring and form variables and they all work).

Dont know if it's the browser or PWS (or maybe even dreamweaver).

Thanks for any input.

Rob d