Emulating a browser, parse cookies with PHP

Hi, I'm trying to make a PHP script that would go in a website and log in. The website uses cookie to authenticate with its services. I made HTTP GET requests using fsockopen and parsed the results back into a variable. However I cannot find the cookie info(Set-cookie) in the returned content. Is there special commands I have to send with the GET request in order for the server to send back cookies? Or am I just doing this all wrong? Any help will be appreciated! thanks!! -David Zhao