A quick look at the plugin indicates that is the expected value if the cookie doesn't exist. The default state is null and then a string if a value is found. Why not just look at document.cookie first yourself:
alert(decodeURIComponent(document.cookie.replace(";","\n\n")));
If the cookie value you are looking for does in fact exist, then I would verify the plugin actually loaded properly:
alert($.cookie.toString());
The get portion of that plugin is about 15 lines so would be trivial to debug if it is the problem. The returned value right now is null, which has no split() method and therefore you are seeing the error in IE as expected.