Cookies on the Silverlight desktop world, work almost magically, when using the browser stack. When you however, try to use the ClientHttp WebRequestCreator (especially to go out of browser), setting up of the cookie handling has to be done via some extra code. The same is true for Windows Phone7 and I have shared a snippet here, that can help set this up.

BasicHttpBinding binding = new BasicHttpBinding();

binding.EnableHttpCookieContainer = true; //Enables setting the HttpCookieBindingElement in the binding.

proxy = new <ClientProxy>(binding, endpointAddress); <- Create proxy client for the service you want to talk to.
proxy.CookieContainer = new CookieContainer(); <- create a container to store the cookies received.

That’s it! Remember you need to set the cookie container before the first request for which you expect to get a cookie in the HTTP response. Typically, you would just set it once the proxy is created and not worry about it after that.