Set Cookie from response in WinHttp

I've a code that makes a post request to a server but I'm trying to set a Cookie from the response. (Just in case, I'm doing a request to a BurningBoard Login)

Here you have my code:

HttpsWebRequestPost("example.com", "/api.php?action=UserLogin", "loginUsername=" + USERNAME + "&loginPassword=" + PASSWORD + "&url=/index.php?page=Portal");

And:

#pragma once

#include <Windows.h>
#include <WinHttp.h>
#include <stdio.h>
#include <iostream> //getchar
#include <fstream>

#pragma comment(lib, "winhttp.lib")

using namespace std;

std::wstring get_utf16(const std::string &str, int codepage)
{
    if (str.empty()) return std::wstring();
    int sz = MultiByteToWideChar(codepage, 0, &str[0], (int)str.size(), 0, 0);
    std::wstring res(sz, 0);
    MultiByteToWideChar(codepage, 0, &str[0], (int)str.size(), &res[0], sz);
    return res;
}

string HttpsWebRequestPost(string domain, string url, string dat)
{
    //Extra
    LPSTR  data = const_cast<char *>(dat.c_str());;
    DWORD data_len = strlen(data);


    wstring sdomain = get_utf16(domain, CP_UTF8);
    wstring surl = get_utf16(url, CP_UTF8);
    string response;

    DWORD dwSize = 0;
    DWORD dwDownloaded = 0;
    LPSTR pszOutBuffer;
    BOOL  bResults = FALSE;
    HINTERNET  hSession = NULL,
        hConnect = NULL,
        hRequest = NULL;

    // Use WinHttpOpen to obtain a session handle.
    hSession = WinHttpOpen(L"WinHTTP Example/1.0",
        WINHTTP_ACCESS_TYPE_DEFAULT_PROXY,
        WINHTTP_NO_PROXY_NAME,
        WINHTTP_NO_PROXY_BYPASS, 0);

    // Specify an HTTP server.
    if (hSession)
        hConnect = WinHttpConnect(hSession, sdomain.c_str(),
            INTERNET_DEFAULT_HTTP_PORT, 0);

    // Create an HTTP request handle.
    if (hConnect)
        hRequest = WinHttpOpenRequest(hConnect, L"POST", surl.c_str(),
            NULL, WINHTTP_NO_REFERER,
            WINHTTP_DEFAULT_ACCEPT_TYPES,
            0);

    LPCWSTR additionalHeaders = L"Content-Type: application/x-www-form-urlencoded\r\n";
    DWORD headersLength = -1;

    // Send a request.
    if (hRequest)
        bResults = WinHttpSendRequest(hRequest,
            additionalHeaders, headersLength,
            (LPVOID)data, data_len,
            data_len, 0);


    // End the request.
    if (bResults)
        bResults = WinHttpReceiveResponse(hRequest, NULL);

    // Keep checking for data until there is nothing left.
    if (bResults)
    {
        do
        {
            // Check for available data.
            dwSize = 0;
            if (!WinHttpQueryDataAvailable(hRequest, &dwSize))
                printf("Error %u in WinHttpQueryDataAvailable.\n",
                    GetLastError());

            // Allocate space for the buffer.
            pszOutBuffer = new char[dwSize + 1];
            if (!pszOutBuffer)
            {
                printf("Out of memory\n");
                dwSize = 0;
            }
            else
            {
                // Read the data.
                ZeroMemory(pszOutBuffer, dwSize + 1);

                if (!WinHttpReadData(hRequest, (LPVOID)pszOutBuffer,
                    dwSize, &dwDownloaded))
                    printf("Error %u in WinHttpReadData.\n", GetLastError());
                else
                    //printf("%s", pszOutBuffer);
                    response = response + string(pszOutBuffer);
                // Free the memory allocated to the buffer.
                delete[] pszOutBuffer;
            }
        } while (dwSize > 0);
    }

    // Report any errors.
    if (!bResults)
        printf("Error %d has occurred.\n", GetLastError());

    // Close any open handles.
    if (hRequest) WinHttpCloseHandle(hRequest);
    if (hConnect) WinHttpCloseHandle(hConnect);
    if (hSession) WinHttpCloseHandle(hSession);

    return response;

}

Finally, this is what I get as response in WireShark:

Hypertext Transfer Protocol
    HTTP/1.1 200 OK\r\n
    Request Version: HTTP/1.1
    Status Code: 200
    Response Phrase: OK
    Date: Sat, 30 Jul 2016 11:55:02 GMT\r\n
    Server: Apache\r\n
    Set-Cookie: wcf_cookieHash=*******hash******; HttpOnly\r\n
    Set-Cookie: wcf_boardLastActivityTime=1469879702; expires=Sun, 30-Jul-2017 11:55:02 GMT; HttpOnly\r\n
    Cache-Control: max-age=0, private\r\n
    Expires: Sat, 30 Jul 2016 11:55:02 GMT\r\n
    Vary: Accept-Encoding\r\n
    Connection: close\r\n
    Transfer-Encoding: chunked\r\n
    Content-Type: text/html; charset=UTF-8\r\n
    \r\n

Can somebody help me to add cookies please? Thanks