Because you are not using a fragment identifier (which is the text after the # symbol on the URL), you will need to do more work to get the appropriate tab to load.
When the page is loaded (usually just by placing the script after other scripting code that you have there), you will need to read the cookie for the name of the active tab, then use the active option to trigger the appropriate tab.
An example of using local storage for this, is:
$("#tabs").tabs({
activate: function(event, ui) {
localStorage.selectedTab = ui.newTab.index() + 1;
},
active: (localStorage.selectedTab) ? localStorage.selectedTab - 1 : 0
});
If you really need to use cookies instead of local storage, we can come up with a solution there too.
I cannot do that for you right now though, but this should give you more than enough information to help you on your way.