CookieContainer cookies = new CookieContainer(); 
SecurityServiceWebServiceService securityService = new 
  SecurityServiceWebServiceService();
FinanceServiceWebServiceService financeService = new 
  FinanceServiceWebServiceService();
securityService.CookieContainer = cookies; 
financeService.CookieContainer = cookies;
// Session cookie gets set in cookie container after successful login. 
// Session cookie gets sent with requests for other web services that 
// have the same cookie container. double stockPrice = 
                                financeService.getStockQuote ("MSFT");

Example 2: Maintaining cookies across web services from a C# client.