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Default Web Query & Cookies

Hi, I'm trying to get data in excel from a web site that requires me
to login first.

If I ask for the URL with the data I need, for example
http://server.com/data/sotcks.htm it redirects me to the login page:
http://server.com/login.htm and if I logon succesfully it takes me
back to the initially asked URL. (it creates a cookie).

When I try to get the URL from an excel web query, it redirects me to
the login page. So, I've tried to ask for the login page and provide
the username and password as web query parameters, but now I get as
result and html page saying my browser (Excel?) does not support
cookies, so I can not logon.

Does someone knows of a way to solve that?

thanks,
Pablo
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