Its problematic at best.  The URLRequest and URLRequestHeader classes are normally what you would use, but Adobe states that they do not allow Cookie headers to be set in the URLRequestHeader class.  (http://livedocs.adobe.com/flex/3/langref/flash/net/URLRequestHeader.html)  However, as long as you know what is expected, you could compose a request with a socket that passed the cookie data as part of the call.  I believe it would work but I have not tried it myself.

I need to retrieve data from a third-party web site. But that web site expects specific cookies. Do you know how I can specify hardcoded cookies using URLRequest (or other ways)?

Thanks,
Emmanuel