The IRequest::get_Cookies method retrieves the Cookies collection of the Request object.
HRESULT get_Cookies(
  IRequestDictionary ** ppDictReturn  //pointer to an 
                                      // IRequestDictionary interface
                                      // pointer that receives the 
                                      // Cookies collection
);
 You can iterate through the Cookies collection with the get__NewEnum method exposed by the IRequestDictionary interface. You can also retrieve a specific Cookie value with the get_Item method.