You should probably contact your AM so that we can check out the configuration that you have.
Speaking at a high level, all 1st party cookies are automatically read and injected/added as part of the utag_data object. If you want to edit the value, you should create a new data source to contain the edited value and map that new data source to the tag. Within the Set Data Values extension you can reference the cookie using b["cp.cookieName"]. For a better example...
Say you have a cookie called "myCookie" and you want to parse out part of the value. First, create a new Data Source called "myNewVariable". Next, add a Set Data Values extension that sets "myNewVariable" to "JS Code" with a value of "b['cp.myAffilate'].substr(13,5)". Then map "myNewVariable" to the tag needed the parsed data.
This should do the trick.
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