Sounds like a great idea!
Two thoughts - firstly, is it possible that your cookie is expiring before you can get the data?
Secondly,have you stepped through your code or put in a test variable so thgat you can see if the cookie is getting populated? That's at least one way to at least see that the info you need is in fact getting populated.
Try something likes this:
HttpCookie _cookie = new HttpCookie("MyCookie");
_cookie.Value = _userId.Text; //Whatever captures your user's id for authentication - a textbox, whatever
string _test = _cookie.ToString(); //set a breakpoint here and make sure you have the value.
Hope that helps.
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