Yup, often called a 'cookie jar' Google should provide many examples:
http://devzone.zend.com/16/php-101-part-10-a-session-in-the-cookie-jar/
http://curl.haxx.se/libcurl/php/examples/cookiejar.html <- good example IMHO
Copying that last one here so it does not go away...
Login to on one page and then get another page passing all cookies from the first page along Written by Mitchell
<?php
/*
This script is an example of using curl in php to log into on one page and
then get another page passing all cookies from the first page along with you.
If this script was a bit more advanced it might trick the server into
thinking its netscape and even pass a fake referer, yo look like it surfed
from a local page.
*/
$ch = curl_init();
curl_setopt($ch, CURLOPT_COOKIEJAR, "/tmp/cookieFileName");
curl_setopt($ch, CURLOPT_URL,"http://www.myterminal.com/checkpwd.asp");
curl_setopt($ch, CURLOPT_POST, 1);
curl_setopt($ch, CURLOPT_POSTFIELDS, "UserID=username&password=passwd");
ob_start(); // prevent any output
curl_exec ($ch); // execute the curl command
ob_end_clean(); // stop preventing output
curl_close ($ch);
unset($ch);
$ch = curl_init();
curl_setopt($ch, CURLOPT_RETURNTRANSFER,1);
curl_setopt($ch, CURLOPT_COOKIEFILE, "/tmp/cookieFileName");
curl_setopt($ch, CURLOPT_URL,"http://www.myterminal.com/list.asp");
$buf2 = curl_exec ($ch);
curl_close ($ch);
echo "<PRE>".htmlentities($buf2);
?>