For Taking HTTP header trace follow the steps mentioned here:
1. Obtain the HTTP header tracer add-on:
Internet Explorer (IE): http://www.blunck.info/iehttpheaders/iehttpheaders.html
Firefox (FF): http://livehttpheaders.mozdev.org/
2. Once installed and the browser restarted, start the HTTP header tracing add-on is as follows:
(IE) View -> Explorer Bar -> ieHTTPheaders v1.6
(FF) Tools -> Live HTTP Headers
3. Ensure the HTTP capture buffer is clear before you begin.
(IE) In the "ieHTTPheaders window" -> Right-Click -> Clear
(FF) In the "Live HTTP Headers" -> Click on 'Clear'
4. Once ready, direct the browser to the login page of your environment and proceed to replicate the issue.
5. Save the resulting generated output to a file and upload the results..
(IE) In the "ieHTTPheaders window" -> Right-Click -> 'Save'
(FF) In the "Live HTTP Headers" -> Click on 'Save-All'
Other than above steps, you can type following words in your browser address bar to get cookies info:
Happy Troubleshooting !!!