//Initialize this stuff with some crap
string appVirtualDir = "/";
string appPhysicalDir = @"C:\Documents and Settings\";
string page = @"localhost";
string query = string.Empty;
TextWriter output = null;
//Create a SimpleWorkerRequest object passing down the crap
SimpleWorkerRequest workerRequest = new SimpleWorkerRequest(appVirtualDir, appPhysicalDir, page, query, output);
//Create your fake HttpContext instance
HttpContext.Current = new HttpContext(workerRequest);
//Create your fake cookie
HttpCookie myCookie = new HttpCookie("myTestCookie", "value");
//... somewhere else in your code
//create a cookie object
//Get your cookie from the HttpContext
anotherCookie = HttpContext.Current.Request.Cookies.Get(0);
string cookieName = anotherCookie.Name;//cookieName should be now "myTestCookie"
string cookieValue = anotherCookie.Value;//cookieValue should be now "value"
You can use the same strategy to stuff the HttpContext with whatever you may need - maybe your problem are not cookies but some other HttpContext property your classes use.
Anyway I didn't figure this out all by myself - most of the inspiration came from this post on Haacked: Simulating HttpContext (btw - he says he has a better version of the post in the first line but for what I needed it I do not agree).