Login to CGI site with autnentication

Question

Hello every body,
This is my first post here so please forgive me for my bad english

I am work on web / windows  service to connect to an internet site to do the following

- Login to the site and get a sessionid

- call a CGI page and retrieve its response which is a list of text files

- download the file

- close the connection

Any body know any way to do this in a professional way
i know about httpwebrequest and httpwebresponse but i don't know how to do this so please help me
thanks