I needed to do a simple http get in the other day, the only catch was that I had to send a cookie. My first thoughts were that this might be tricky, but in practise it's a doddle. Below is a simplistic example passing a cookie (called "Fish", with a value of "Cod") using Python's httplib.
import httplib
conn = httplib.HTTPConnection( "www.example.com" )
Headers = {"Cookie" : "Fish=Cod"}
conn.request("GET", "/fishfinder.html", None, Headers )
response = conn.getresponse()
data = response.read()
How hard can it be?