Unfortunately, in the UK setting the cookie (unless you have express permission from the user) is the part that breaches the law no matter how quickly you remove it. This may or may not be the same in other EU countries.
For example:
In Finland: The requirement is for the user’s consent for the use of cookies. In the draft proposal it was indicated that browser settings can be used to indicate consent.
In the UK: the Finnish approach would be illegal.
