Well, OK, maybe not impossible, but it might as well be.
Here’s why. If you include any content that’s not directly generated on your site, an http request to set a cookie from the third party site appears to be honoured by your browser.
header("Set-Cookie: GOTCHA=value; path=/; expires=Mon, 28-May-2012 00:00:00 GMT");
Now, in theory the law requires the third party site to request permission before dropping the cookie, however, many third party affiliate networks are requiring the affiliate to request the permission.
Note that the Information Commissioner itself is vulnerable to this, because despite asking for permission, they include a script from another website. In this case it’s: http://ajax.googleapis.com/ajax/libs/jquery/1.5.1/jquery.min.js