Cookies are set either by your PHP scripts or by webmaster tools which you include in your page by adding JavaScript code: Google Webmaster, Google Analytics, etc. So don't use them, and your domain will be free of cookies.
The easiest way to set up a cookieless domain for your static content is to create a CNAME record aliasing your static domain to your main domain. Your static files remain in the same place but you can now reference them at a different domain.