file_get_contents receive cookies

There's a magic variable for this, called ; it's an array comprising all headers that were received. To extract the cookies you have to filter out the headers that start with .$http_response_headerSet-Cookie:

file_get_contents('http://example.org');

$cookies = array();
foreach ($http_response_header as $hdr) {
    if (preg_match('/^Set-Cookie:\s*([^;]+)/', $hdr, $matches)) {
        parse_str($matches[1], $tmp);
        $cookies += $tmp;
    }
}
print_r($cookies);

An equivalent but less magical approach would be to use :stream_get_meta_data()

if (false !== ($f = fopen('http://www.example.org', 'r'))) {
        $meta = stream_get_meta_data($f);
        $headers = $meta['wrapper_data'];

        $contents = stream_get_contents($f);
        fclose($f);
}
// $headers now contains the same array as $http_response_header

you should use cURL for that purpose, implement a feature called the cookie jar which permit to save cookies in a file and reuse them for subsequent request(s). cURL

Here come a quick code snipet how to do it:

/* STEP 1. let’s create a cookie file */
$ckfile = tempnam ("/tmp", "CURLCOOKIE");
/* STEP 2. visit the homepage to set the cookie properly */
$ch = curl_init ("http://somedomain.com/");
curl_setopt ($ch, CURLOPT_COOKIEJAR, $ckfile); 
curl_setopt ($ch, CURLOPT_RETURNTRANSFER, true);
$output = curl_exec ($ch);

/* STEP 3. visit cookiepage.php */
$ch = curl_init ("http://somedomain.com/cookiepage.php");
curl_setopt ($ch, CURLOPT_COOKIEFILE, $ckfile); 
curl_setopt ($ch, CURLOPT_RETURNTRANSFER, true);
$output = curl_exec ($ch);

note: has to be noted you should have the pecl extension (or compiled in PHP) installed or you won't have access to the cURL API.