Are you consuming a web service from IS using a web services connector? If so, how is the structure of the cookie described? Typically, cookies are created in a browser or other HTTP client at the intial connection or at login and then stored on the local drive to be sent again on subsequent connections. The question for your service provider is how will the cookie be created in the first place.
Are you sure this is a web service and not just some web page that is expecting a HTTP post or get? Requiring a cookie to invoke a web service is very non-standard.
Mark
#webmethods-Protocol-and-Transport#Integration-Server-and-ESB#webMethods