This is why I mentioned the various methods of tracing what your browser sends over the wire. If you don't know how HTTP, HTML and browsers interact, watching the whole thing in action (or in slow motion replay via the logs) can be quite educating.

Yes,you will need to request all separately linked things separately. As you will be replicating the stuff a browser sends, the server has no method of discerning between your script and a browser. How the serser stitches together all the separate requests into a whole session is up to the server. Cookies are a common method, but you will likely find when you look at the traffic that much of the traffic is static anyway. So, go look at what goes over the wire.