Cook will enter the final Test at Sydney on Friday hoping to somehow avoid becoming only the third England captain to suffer an Ashes whitewash.
When he headed for Australia in October he was told by the great former Australia leg-spinner that he needed to shake up his tactics if England were to avoid defeat - and Warne's words are coming true.
Cook admitted back then that it did "change his blood pressure slightly" to constantly hear the warnings, both during last summer's 3-0 home series victory over Australia and then again on arrival for the rematch.
But more than two months older and wiser, he insists he must do things his own way.
"I have to be the man I have to be," he said.
"I can't change because Shane Warne says so."
Unlike Cook, Warne never had the privilege of leading his country in a Test match, although he did so in one-day internationals and was also noted as an instinctive captain of Hampshire.
Cook is prepared to take his and others' advice into account, but in the end will make up his own mind.
"I can look at what he says, and he might have a point on some of it," he said.
"If you listen to every single person, your mind gets muddled anyway.
"I have to do it the way I think is best for me and this England side."
Warne's methods can be crudely characterised as pro-active, and Cook's approach more ordered.
Others raised eyebrows with some of Cook's bowling changes as England subsided to defeat at the MCG last week.
But he later gave perfectly plausible explanations, and said on the eve of the final Test: "The nature of captaincy is that there are a number of decisions which could go a different way.
"You have to believe it is the right way, even if someone in the commentary box thinks something else."
As for Warne, he added: "He has criticised me for a long period of my cricket career, and has also praised me sometimes as well.
"It is nothing new and it will probably continue until I finish."
Cook knows nonetheless that England's unexpected run of four consecutive wide-margin defeats leaves him open to criticism.
He does not pretend to be immune from it either.
"When you lose games like we have, it's a tough place to be as a captain, especially on a big tour with as much media coverage as this," he said.
"Make no mistake, it hurts for me."
He knows from personal experience, however, that no-one in his position is ever quite as good or bad as their publicity.
"All the criticism you get when you lose is always exaggerated, and there's always hyperbole when you win," he said.
"It's something I've been used to in my career so far, and it will happen to everyone who plays a lot of Test cricket.
"To say I'm 100 per cent [unaffected] would be wrong, but I'm proud of the way I've handled myself in this series."
He and coach Andy Flower have already made it clear they hope to carry on in their jobs, whatever the result at the SCG, and he added: "I do want to continue. I love doing the job.
"I like the challenges it presents, and it's a real test of who you are as a person - whether you're up to it or not."
Cook's learning curve is little more than a year old, since he took over from Andrew Strauss, and he reasons his first significant setback may end up being a vital part of his education.
"We've had a hell of a lot of success in this England side," he said.
"This is my first series loss as a captain, so it's not all doom and gloom.
"When you lose you start stripping back everything, looking at everything that's gone wrong, every little aspect you think you can improve.
"In one way, sometimes you have to go through that to see where you are as a side, as a person."
The next step after Sydney, where it appears England are considering an experimental side which may contain up to three debutants, is to start working out a long-term remedy for this winter's ailments.
Fast bowler Boyd Rankin, batsman Gary Ballance and leg-spinner Scott Borthwick may all win their first caps in particularly exacting circumstances.
All have already had an initial chance to impress some influential people, England's new national selector James Whitaker and managing director Paul Downton both in attendance at afternoon nets on the eve of the Test.
The three new boys can therefore consider themselves at present part of the planning for a new era, which Cook anticipates will take up much of the coming months.
"There's a hell of a lot of thinking and a hell of a lot of actions to take after this Test," he said.
"A lot of time for thinking will be made after this match."