Creating a Case - Web API

I am getting a 401 Unauthorized when trying to create a case using the Web API.

I call the loginservice and get back a success 200. Then I call the case service and I get a 401.

I used a web proxy to give me more details and it say something about my request not containg a P3P Header. After Googling I think there is a problem with the JSESSIONID cookie being set. It is not being set. Has anyone experienced this? What do I do?