When using the XML Document Object Model (DOM), the setRequestHeader method on the XMLHttpRequest object does not seem to set cookie headers as expected. The first call to setRequestHeader using the Cookie HTTP header seems to have no effect.
To add cookies to the request, the call to setRequestHeader for the Cookie header must be repeated because the first call is ignored:
Note that setting cookies in this manner is atypical. Cookies are best set by the server using the Set-Cookie header.
'this value is ignored, but the step is necessary
xmlRequest.setRequestHeader "Cookie", "any non-empty string here"
'set all cookies here
xmlRequest.setRequestHeader "Cookie", "cookie1=value1; cookie2=value2"