To maintain state between requests, web applications typically return a cookie to the client, and the client includes the cookie with subsequent requests.
http://en.wikipedia.org/wiki/HTTP_cookie
When logging in manually with a browser, the browser will manage these session cookies. The VBP HTTP action is meant only for submitting data for a single form and doesn't support sessions or getting and setting cookie values.
You could instead call a browser such as IE (using a Run Script action) to login to a web site and perform actions within the login session.
http://scriptorium.serve-it.nl/view.php?sid=30
http://www.google.com/search?q=autom...bsite+vbscript
Another option might be calling a command-line HTTP client (using a Run Program action) that supports sessions/cookies.
http://gnuwin32.sourceforge.net/packages/wget.htm
http://www.gnu.org/software/wget/