Ok do I just understand this wrong or what?
I added a the following actions
0. If '[Action,QueryString]' = 'SetCookie'
1. Assignment: Assign <Cookie> variable 'MyCookie' to 'This is my cookie'.

I created a button to trigger it and the cookie gets set
My problem is if I close my browser and then reopen it the cookie is gone.

So I’m assuming this is a session cookie.
Is there way to retain or store the cookie between browser sessions?

try specifying the cookie expiry explicitly....

ex.
1.Execute Query[ExpDate]: select (cast(day(getdate()) as varchar(2)) + '/' + cast(month(getdate()) as Varchar(2)) +'/'+ cast((year(getdate())+1) as Varchar(4))) as Date
2. Assignment: Assign <Cookie> variable 'MyCookie' to 'This is my cookie'.
3. Assignment: Assign <Cookie> variable 'MyCookie.Expires' to '[Date,ExpDate]'.