cookies and session for C# program

Why would you want to use cookies and an explicit session in a desktop app? They are a mechanism for emulating a persistent application over a stateless protocol (HTTP), and they're just not necessary within a genuinely persistent application. Any state that you set (e.g. properties or fields on objects) will remain there until the end of the process, if the object stays in scope.

Assuming what you're really asking is 'how should I store state information?': I usually have a single repository for application data (either just on the main form or in a separate class with a static reference somewhere, depending on the complexity of the application), and create UI controls as views on some part of the data object (either using data binding or view-models). If you want to be able to load, save or remember state, you need to make the data object serialisable (I don't mean [Serializable] necessarily, but providing some mechanism of translating to/from byte streams).