They don't share cookies. Are you talking about image tracking? That doesn't require the support of the email clients the person sending the email just sends a unique tracking token in the URL string that they associate with the email address they have on file:
joe@freemail-site.com -> 123412341234
Then they include a link that is something like:
<IMG SRC="http://www.trackingsite.com/img.jpg?123412341234">
When your browser opens the HTML tag sends the 123412341234 and the tracking site knows that joe@freemail-site.com opened the email.
- RSnake
Gotta love it.
http://ha.ckers.org