Chrome doesn’t support cookies for local files (or, like Peter Lyons mentioned, localhost*) unless you start it with the –enable-file-cookies flag. You can read a discussion about it at http://code.google.com/p/chromium/issues/detail?id=535.
*Chrome does support cookies if you use the local IP address (127.0.0.1) directly. so in the localhost case, that could be an easier workaround.