keeping http session between requests

I was trying to download page and keep http session between requests
like this:

my $request = HTTP::Request->new(GET => $URL_login_page);
my $response = $browser->request($request);
# save cookie
$cookie = $response->header("Set-cookie"); # here cookie is not null

$request = HTTP::Request->new(GET => $URL_get_data);
# set saved cookie
$request->header("Set-cookie", $cookie);

but it does not work - session is not not forwarded to second request,
cookie's gone

how can I keep session between requests?

thanks for your help
.

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