HttpWebRequest had a problem with cookies.
The problem was that a cookie that was assigned to "server.com" would be
changed to ".server.com". However, "server.com" did not match
If you are using a framework older than (I think it is 3) you are
probably experiencing this problem.
The work around is to use e.g. "www.server.com" in your request, this
will match cookies assigned to ".server.com".