Couple of things...
Cookie are not available immediately after setting them, it requires a new request.
Basically you need to redirect them or reload the page in order to see the value in $_COOKIE.
If that's not your problem then try adding the 4th and 5th parameters for the cookie
setcookie('user', $sUser, time() + 3600, '/', $SERVER['HTTPHOST'])
will usually do the job.
Also a cookie is a single plain text string, therefore if you set $sUser, then do another setcookie with $sPwd, it will only store the pwd, so you need to serialize if you need to store an array of values. Or at the very least separate them with a predefined character, like | (pipe) and split it internally.
Storing passwords in cookies isn't really good practice of security, this is why most sites only store your username and make you re-enter your password.