Hi Billybobs,
Refer the below screenshot to set the source as cookie and pass the cookie name.

Code
HttpCookie myCookie = new HttpCookie("MemberNo");
myCookie.Value = MemberNo;
myCookie.Expires = DateTime.Now.AddMinutes(30);
Response.Cookies.Add(myCookie);
HTML
<asp:SqlDataSource ID="SqlDataSource1" runat="server" ConnectionString="<%$ ConnectionStrings:XXXConnectionString %>" ProviderName="<%$ ConnectionStrings:XXXConnectionString.ProviderName %>" SelectCommand="SELECT [strLastName], [strLocation], FROM [tblMembers] WHERE ([lngMemberNo] = @MemberNo)">
<SelectParameters>
<asp:CookieParameter CookieName="MemberNo" Name="MemberNo" Type="String" />
</SelectParameters>
</asp:SqlDataSource>