Yes, I've disabled it, but I do not know on which step I can get a cookie.
Well that should be quite simple, isn't it?
You start by making the first request (the one for which the redirects were handled automatically). That request should either have a Set-Cookie header right away or just a redirect location (thus a Location header). If you're just getting a Location header then create a new request to that location (don't forget to disable the redirects for that request as well).
Next off, if your redirect request still doesn't have a Set-Cookie header, you might want to repeat the steps above, so take the Location header again, create a new request etc. You might encounter multiple redirects until you finish off landing on some page.
Let me know how it goes for you :D
