How does the MSXML2.XMLHTTP object connect to the same session

I'm validating the username, password by opening a InternetExplorer, set the form elements and submit. I'm able to do it successfully.
Now I make another request which is xml based, so I use a MSXML2.XMLHTTP object and post the request. It fails as it does not know the session before. How can let the XMLHTTP know the InternetExplorer session, so it could remember me and allow the next calls in macro?

I'm having the same problem on a Windows Vista 32 bit machine (I tried updating to SP2 and IE9 but that didn't help). It works on two of my Windows 7 64 bit machines. The session just transfers over.
If anyone has an idea let me know, it's a pressing problem for me.

I have investigated my problem further. I tried my program on another VISTA PC and my program worked fine, the session transferred over. (Therefore, it has nothing to do with VISTA.)

After reading more, I learned that starting from IE 8 SessionMerging is default and you can deactivate it by changing the registry.

My best guess was that the system admin deactivated SessionMerging at some point in time. I checked the registry and checked if SessionMerging occurs when I use new tabs. Result: Registry was not changed and SessinMerging still occurs within IE9 so I don't know why the session does not transfer over to my MSXML2.XMLHTTP object on ONLY this computer.

If anyone has any ideas that will be great.