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.