If the websites do not share a common private parent domain, they will not share cookies.
www1.example.com and www2.example.com share example.com. www.example2.com and www.example3.com do not share anything.
If you're using a two-letter TLD (such as .ly) you also need to perform special Munchkin configuration.
ahh... got it.. Just found an article, too. "First Party Cookies". Any way around this?
Yes and no.
A considerable amount of custom development can solve this.