TWebBrowser is a wrapper for IE's ActiveX/COM object, which shares the same core with the standalone IE browser, which includes cookies.
For what you are asking, you would have to manually access and export Firefox's cookies (I don't know if Firefox has an API for that but I doubt it, so you will have to search online for more details) and re-format them as text files saved into IE's cookies folder. Neither Firefox nor IE will do the export/import for you.