The IResponse::get_Cookies method retrieves the write-only Cookies collection of the Response object.
HRESULT get_Cookies(
IRequestDictionary ** ppCookies //pointer to the
// IRequestDictionary interface
// pointer that receives the
// write-only Cookies collection
);
You can iterate through the Cookies collection with the IRequestDictionary::get__NewEnum method, or you can retrieve a specific cookie with the IRequestDictionary::get_Item method.