I had changed your script to:
$cookieName=’CookieMonster’;
$cookieData=’Chocolate Chip’;
if(isset($_COOKIE[$cookieName])){
echo “Yep, cookie found!”;
}else{
setcookie($cookieName,$cookieData,$expire);
header(“Location: http://***.com/this_file“);
exit;
}
?>

then you will find that the googlebot return “Yep, cookie found!”
googlebot certainly not keep cookie for you twice request. but if in once. that is certainly not.