ASIHTTPRequest with Cookie

// creating the URL
NSURL *_server_url = [NSURL URLWithString:@"http://my_computer.local/";];

// creation the cookie
NSHTTPCookie *cook = [NSHTTPCookie cookieWithProperties:
						[NSDictionary dictionaryWithObjectsAndKeys:
								[_server_url host], NSHTTPCookieDomain,
								[_server_url path], NSHTTPCookiePath,
								@"MY_COOKIE_NAME",  NSHTTPCookieName,
								@"MY_COOKIE_VALUE", NSHTTPCookieValue,
								nil]];

// Posting the cookie

[[NSHTTPCookieStorage sharedHTTPCookieStorage] setCookie:cook];

Ref:
http://lists.apple.com/archives/Webkitsdk-dev/2003/Sep/msg00003.html