InternetGetCookie doesn't return all cookies?

Hello,

I try to read cookies within my BHO with InternetGetCookie function.
But by "https//:.." requests it seems not to return _all_ cookies.
I try this:
retry:{
           if (!InternetGetCookie(sUrl, NULL, lpszData, &dwSize)){
                DWORD dwLastErrorCode = GetLastError();
                if( dwLastErrorCode == ERROR_INSUFFICIENT_BUFFER){
                        lpszData = new char[dwSize];
                        goto retry;
                }
            else{
                lpszData = new char[dwSize];
                if (InternetGetCookie(sUrl ,NULL, lpszData, &dwSize)){
                    ATLTRACE(_T("COOKIE: [%s]
"),lpszData);
                    delete[]lpszData;
                }
}

Did I miss smth important by calling this function?
Is there another way to get the cookies for https?
Thank you for help.