I thought this would be simple:

In my VB.NET application, make and instance of a web control, post a
username/password to a website, keep "browsing" the website with the
control, extracting information about the web pages, and the Session and
cookies will be alive for as long as I'm posting back to the web site.

Boy was I wrong!

The website (not mine btw) uses a combination of session variables and
cookies to validate the user.

I've tried with an HttpRequest and HttpResponse objects to no avail. I
can't get them to behave like a normal browser, maintaining the session.

The best I could do was to create an instance of axWebBrowser and
"manually" browse the web pages. I do this using the DOM, filling the
textboxes (calling them by name) and doing  TheSubmitButton.Click()

Using the axWebBrowser, how do I download a file stored on the web?

Does anyone have a better solution? Throw me a bone here! Any comment
will be appreciated.