How to identify the session of the IE and use the same for the subsequent calls

I'm working on validating user (using web scraping) and when successful have to make a call to a service to get the data to populate the spreadsheet cells.
Using macro to validate the user by the means of below code (newly written), I can login and establis

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After this code, I need to call a service (already written code)

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Here the same session which I established using 1st piece of code is not passed on to the second call. How can I make the XMLHTTP code understand the user is already logged in.
I tried capturing the cookie from the IE shell and used it in the setRequestHeader, but unsuccessful.

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Any suggestions?