Look at the following:
http://msdn2.microsoft.com/en-us/library/ms744559.aspx
https://www.microsoft.com/windows/windowsmedia/howto/articles/adinsertion.aspx
Hope it helps.

Signature
Regards,
Vladimir
http://voynex.com - custom software development
> Hi,
>
> Is it possible for WMS to pass client's cookie to another (http) server
> while the client connects to the stream?
>
> Regards,