Aldebara,
Actually, I have been able to achieve this Duo-authentication login easily with WWW::Mechanize::Chrome, but I could not get WMC to download hyperlinked files (pdf, csv and images) without getting them corrupted and wrapped into html tags.
This simple download has been automatic with WWW::Mechanize. That's the reason why I want to see if WM can do the same thing as WMC by using the cookies.