I have a site on A.com and an iframe on B.com which reads info from A.com. I realize that there is some problems with third party cookies, iframes and P3P - particularly in Safa
I'm afraid you're out of luck. In Safari and IE8, it's impossible to set a cookie in a domain which is not the primary document's domain.
So, in other words, you can only set cookies for a domain which is visible in the address bar. There are no tricks to get around this problem.