Perhaps one other option, instead of trying to go the cookie route, is using a modal popup that supports HTML files (assuming that I am understanding this correctly.)
http://nyromodal.nyrodev.com/
http://jquery.com/demo/thickbox/
You should be able to load an html file into the modal window, and then set it up in such a way that clicking the next/previous buttons within the modal window changes the file.
For example, with the nyromodal demo, a visitor can click on an image, displaying the modal window, and then click the small "next" button, displaying a video from utube, and then next again to view a webpage, etc…