You do not give any context to your situation -just the basic problem. So it is difficult to give an answer that clearly fits. However, here are some techniques/mechanisms for passing information from one page to another, regardless of what domain is involved.
- include hyperlink to a 1x1 pixel transparent gif image (sometimes called a "beacon")
- rely on referrer information in HTTP request headers to identify page hyperlink is on
- include extra parameters in hyperlinks to other site - assuming you run both sites
- buy services of a company like Akamai to do user tracking for you
- possibly use cross domain cookie mechanism in the future if standard is ever approved
Which techniques really come down to whether you can place software on all of the sites (servers) that the user will visit where you have interest - or you cannot place your software on all of them.