Right, I realize that, and that's why I'm so bloody puzzled. Since my login script was/is in the same path as the rest of the ubb pages, namely, /ubbthreads/start_page.php for example.
That's why I couldn't figure out why it would only work if I went through a previous 'dummy' page. And my only reasoning is that I needed to be in the same directory/path on a previous page before going to the login page in the same directory and setting my cookie. It doesn't make any sense... but then again, that's why I'm puzzled. 8-)