1.There is no cookies for windows desktop application, and cookies are managed by the web browsers.
2.The similar solution in the case of windows application is to save the user credentials in the current user settings. For doing this by using application properties you must add in the application configuration two user settings for user name and password, then after login successfully to save the user inputs.
NOTE: In this way also other user preferences (regarding the current application) could be saved (like current folder, application settings, etc).
3.For details about user settings see next article:
http://msdn.microsoft.com/en-us/library/aa730869(v=vs.80).aspx[
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