Okay, so you know how to create http request/response headers, right?
Just add a field for the cookies and set them.
Example Request header:
GET /script/Answers/List.aspx?tab=active HTTP/1.1
Host: www.codeproject.com
Connection: keep-alive
Cache-Control: max-age=0
User-Agent: Mozilla/5.0 (Windows NT 6.1; WOW64) AppleWebKit/537.1 (KHTML, like Gecko) Chrome/21.0.1180.89 Safari/537.1
Accept: text/html,application/xhtml+xml,application/xml;q=0.9,*/*;q=0.8
Referer: http://www.codeproject.com/script/Membership/MyNotifications.aspx
Accept-Encoding: gzip,deflate,sdch
Accept-Language: en-GB,en-US;q=0.8,en;q=0.6
Accept-Charset: ISO-8859-1,utf-8;q=0.7,*;q=0.3
Cookie: srvid=1328, 1335; ui-tabs-1=0; cntid=16;
Example Response header:
HTTP/1.1 200 OK
Cache-Control: private
Content-Type: text/html; charset=utf-8
Content-Encoding: gzip
Vary: Accept-Encoding
Set-Cookie: SessionGUID=<identifying value="" removed="">; path=/
Set-Cookie: mguid=<identifying value="" removed="">; domain=.codeproject.com; expires=Sat, 12-Sep-2037 04:00:00 GMT; path=/
Set-Cookie: SessionGUID=<identifying value="" removed="">; path=/
Set-Cookie: mguid=<identifying value="" removed="">; domain=.codeproject.com; expires=Sat, 12-Sep-2037 04:00:00 GMT; path=/
Date: Wed, 12 Sep 2012 18:51:25 GMT
Content-Length: 13947
</identifying></identifying></identifying></identifying>