WCF / ASMX :: Cookie Refuses To Get Set When Asking For A Cookie From Webservice

I'm trying to use a webservice that first expects the clients to login, to retrieve a cookie to re-use.
This is done through a login(string user, string pass) method on the webservice.

Doing this through a browser works fine, we get a cookie, and we can see the cookie via Fiddler or whatvever proxysniff thingy.

Time to do the same in ASP.Net, so we use the WSDL and generate a nice proxy class, and it works fine to call the login() method, but Never Ever does a cookie get set !

I already used the "cookiejar" technique - which means i create an instance of a CookieContainer and assign it to the proxyclass like this;

var cookies = new CookieContainer(3);