If it's for windows, take a look at Windows HTTP Services (WinHTTP)
http://msdn.microsoft.com/en-us/library/aa384273(VS.85).aspx
Microsoft Windows HTTP Services
(WinHTTP) provides developers with an
HTTP client application programming
interface (API) to send requests
through the HTTP protocol to other
HTTP servers.
WinHTTP offers both a C/C++
application programming interface
(API) and a Component Object Model
(COM) automation component suitable
for use in Active Server Pages (ASP)
based applications.
For Cookies http://msdn.microsoft.com/en-us/library/aa383261(VS.85).aspx
