Hi Alex,
Unfortunately there is no enough info to advice you something...
First of all are you using Portal or MVC approach? What version of Kentico?
Also I'd like to understand what web part/control are you using to list documents? And is some pieces of that task completed or you're asking for advice on general approach?
My recommendation would be to avoid checking for cookies on file download, but for the entire documents list page e.g.:
* user navigates a page with documents
* system check for cookies
* if cookies present - show the page
* otherwise redirect to the form page
Thanks,
Roman