Using CookieContainer with WebClient class

This one is just extension of article you found.

public class WebClientEx : WebClient
{
    public WebClientEx(CookieContainer container)
    {
        this.container = container;
    }

    public CookieContainer CookieContainer
        {
            get { return container; }
            set { container= value; }
        }

    private CookieContainer container = new CookieContainer();

    protected override WebRequest GetWebRequest(Uri address)
    {
        WebRequest r = base.GetWebRequest(address);
        var request = r as HttpWebRequest;
        if (request != null)
        {
            request.CookieContainer = container;
        }
        return r;
    }

    protected override WebResponse GetWebResponse(WebRequest request, IAsyncResult result)
    {
        WebResponse response = base.GetWebResponse(request, result);
        ReadCookies(response);
        return response;
    }

    protected override WebResponse GetWebResponse(WebRequest request)
    {
        WebResponse response = base.GetWebResponse(request);
        ReadCookies(response);
        return response;
    }

    private void ReadCookies(WebResponse r)
    {
        var response = r as HttpWebResponse;
        if (response != null)
        {
            CookieCollection cookies = response.Cookies;
            container.Add(cookies);
        }
    }
}

 WebClient wb = new WebClient();
 wb.Headers.Add(HttpRequestHeader.Cookie, "somecookie");

From Comments

How do you format the name and value of the cookie in place of "somecookie" ?

wb.Headers.Add(HttpRequestHeader.Cookie, "cookiename=cookievalue"); 

For multiple cookies:

wb.Headers.Add(HttpRequestHeader.Cookie, 
              "cookiename1=cookievalue1;" +
              "cookiename2=cookievalue2");

Yes. IMHO, overriding GetWebRequest() is the best solution to WebClient's limited functionalty. Before I knew about this option, I wrote lots of really painful code at the HttpWebRequest layer because WebClient almost, but not quite, did what I needed. Derivation is much easier.

Another option is to use the regular WebClient class, but manually populate the Cookie header before making the request and then pull out the Set-Cookies header on the response. There are helper methods on the CookieContainer class which make creating and parsing these headers easier: CookieContainer.SetCookies() and CookieContainer.GetCookieHeader(), respectively.

I prefer the former approach since it's easier for the caller and requires less repetitive code than the second option. Also, the derivation approach works the same way for multiple extensibility scenarios (e.g. cookies, proxies, etc.).