But, while browsing here, now, I can't imagine why that site would want to set a cookie.
Well, it wouldn't have had anything to do with the forum. The only info the forum's cookie contains is encrypted copies of your username and password and whether or not you want to be automatically logged in.
I have no way of knowing what sort of info the cookie you're referring to might contain, but was the forum the first site you visited today after you opened your browser? If so, perhaps the other cookie was set to automatically bring up that pop-up window after a certain amount of time had passed between the time it was first downloaded to you cookies directory on your hard drive and you opened your browser.
The problem with a lot of cookies is that most if not all the info that's encoded into them is encrypted. Even if you open them, you can't tell what they're set to do. That's one reason why it's always a good idea to periodically go through your cookies and delete anything that's been stored from any sites that you don't trust. Actually, not just from Web sites you might have visited because cookies can also be downloaded if your e-mail program displays/accepts HTML - just opening the e-mail can set a cookie.