Web Authentication using IWebBrowser2 and IWinHttpRequest interfaces in VC++

I have obtained valid session ID using IWebBrowser2 interface. Using this session ID I wish to download resources (*.jar files) from web server. However downloading resources using IWebBrowser2 pops up a dialog as shown in the below figure.

The original requirement is to transparently download resources without any user input. To achieve transparent download I tried using IWinHttpRequest interface and obtained session id. Code snippet is as shown below:

void DownloadResources(CString &strCookie)
{
//strCookie is of the from JSESSIONID=<ActualSession ID>

CComPtr<IWinHttpRequest>  l_ptrIWinHttpRequest = NULL;		
HRESULT hr = l_ptrIWinHttpRequest.CoCreateInstance(CLSID_WinHttpRequest);

hr = l_ptrIWinHttpRequest->Open(_bstr_t(STRING_HTTP_VERB_GET), _T("Actual URL goes here"), _variant_t(VARIANT_FALSE));

hr = l_ptrIWinHttpRequest->SetRequestHeader((BSTR)_T("cookie" ,strCookie.Trim().AllocSysString());

_variant_t varEmpty;
hr = l_ptrIWinHttpRequest->Send(varEmpty);

if(SUCCEEDED(hr))
{
   long lVal = 0;
   hr = l_ptrIWinHttpRequest->get_Status(&lVal);
  //lVal obtained is equal to 401.

}

}

Can someone please elaborate as to what am I missing out in IWinHttpRequest. It is also fine if i can get a way to suppress the download prompt that appears using IWebBrowser2 interface.

Note: *.jar files are added filtered using web.xml file on web server.

Sumeet Bhatia --- [India]