Ok your setting $Language to the value of a cookie.
Then if $Language is empty your writing a cookie.
And then your outputting the empty value in $Language

try this
PHP Code:
<?
$Language=($HTTP_COOKIE_VARS["Language"]);
if (empty($Language))  {
     setcookie("Language","English",time() + 43200);
     echo"<script>alert('English');</script>";
}else{
     echo"<script>alert('$Language');</script>";
}
?>