Here is my first pass at the explanatory text. I've added to the introduction section in a manner consistent with the ACP->Spambot countermeasures introduction section, i.e.
To explain the Cookie domain:If you have problems with users staying logging in to your board, visit the phpBB.com Knowledge Base - Fixing incorrect cookie settings.
I would welcome comments/suggestions on any wording changes that would improve the explanation text.In most cases the cookie domain is optional. Leave it blank if you are unsure.
In the case where you have a board integrated with other software or have multiple domains, then to determine the cookie domain you need to do the following. If you have something like example.com and forums.example.com, or perhaps forums.example.com and blog.example.com. Remove the subdomains until you find the common domain, example.com. Now add a dot in front of the common domain and you would enter .example.com (note the dot at the beginning).
With my changes, the page would look like: