What am i doing wrong?
You've stopped diagnosing the problem. To start, add to your program

use Data::Dumper;
print Dumper($response), "\n";
[download]

or

print "\n----\nHEADERS ", __FILE__, " SENT\n";
print $response->request->headers->as_string;
print "\n----\nHEADERS ", __FILE__, " RECIEVED FROM ", $response->requ
+est->uri, "\n";
print $response->headers->as_string, "\n----\n";
[download]

and examine the output.

If you don't see any "cookie" lines, then maybe $url is using client-side scripting (such as JavaScript) to set cookies, or your proxy (if you have one) is stripping cookies ...
Next step would be to compare headers to those you see when using Firefox with the Live HTTP Headers plugin