You may also want to check that it's a file (not a directory or special file), and that it's readable and writeable. Try:

if (-e "$ENV{REMOTE_ADDR}.$ENV{HTTP_COOKIE}.txt")
{
 if (-f _)
  {
   if (-r _)
    {
      if (-w _)
       {
        #Do stuff here
       }
      else
       {
        #Not writable
       }
    }
   else
    {
     #Not readable
    }
  }
 else
  {
   #Not a file
  }
}
else
{
 #Doesn't exist
}
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You can put all the checks in the one if by anding them if you only need to check that the file exists and is accessable.