From MSDN:
If the CookieContainer property of the associated HttpWebRequest is null, the Cookies property will also be null. Any cookie information sent by the server will be available in the Headers property, however.
you need to create a CookieContainer
in the request.
HttpWebRequest request = (HttpWebRequest)WebRequest.Create(args[0]);
request.CookieContainer = new CookieContainer();
HttpWebResponse response = (HttpWebResponse) request.GetResponse();
// Print the properties of each cookie.
foreach (Cookie cook in response.Cookies)
{
Console.WriteLine("Cookie:");
Console.WriteLine("{0} = {1}", cook.Name, cook.Value);
}