Grab value out of cookie and store it in a header variable

I understood the question to mean that JetNetUser was part of the cookie. If that's the case, try

when HTTP_REQUEST {  
    set auth_user [findstr [HTTP::cookie ] "JetNetUser" 11 "&" ]  
    HTTP::header insert  $auth_user  
  }

I'm assuming here the terminator of your string will be &, so you'll need to change this if it's not.