You must have looked in perldoc lwpcook, which is very good. That is further than most people get.

When you say, "I could not get it to work", what do you mean? The best code snippet I could provide would be straight out of the documentation you read. Perhaps the site doesn't use basic authentication? The more information you provide (errors, warnings), the easier it is to help you.

The same document has a suggestion for retrieving multiple pages from a site. (HTTP is generally a connectionless protocol -- at least, for the task you're doing, so there's no need to keep a connection alive.)

To use cookies, have a look at HTTP::Cookies and LWP::UserAgent. They have good examples in there. You might also look in Super Search for previous questions on the same topic... someone brought this up a few months back.

Update: Fixed a typo, thanks to dws.