ive never used cool edit, but normally, either when you start creating it a menu will appear (with input boxes for filename, frequency, ect) and you set it there, OR you can probobly, (with a little exploring) do something like this:
tools > options > (maybe some tabs here, if so, cycle through them) > sound frequency
hope it helps, cause this s about as generic as it gets...
Whenever im doing a sound for HL (which is very rare anyway) Im using Cool Edit aswell ... I had the same problem as you and here is what I do
its a sort of stupid way though lol
Save your file as wav with CoolEdit, then open up the windows audio recorder (start -> run -> sndrec32), open the file in it and save it again as .wav with 22050Hz Mono