Here's what I see in my dev tool for headers when I send an ajax request
Request URL:
http://xxxxxxxxxx.net/filemanager/filemanager.php
Request Method:POST
Status Code:200 OK
Request Headers
Accept:*/*
Accept-Encoding:gzip,deflate,sdch
Accept-Language:en-US,en;q=0.8
Connection:keep-alive
Content-Length:175
Content-Type:application/x-www-form-urlencoded; charset=UTF-8
Cookie:bb_lastvisit=1373594455; bb_lastactivity=0; bb_userid=1; bb_password=6c70309c0fasihfoaishu7aedbbdfa34cf7; bb_fe8adc6d804a36; bb_cpsession=90088ef658flaasjhaeiswhfiuhtihae61571 6573ec05172c4fc8; bb_fmsession=e14eaa1506aiueihjfoaijuwhrfiaa6597ecd 9d4cd
Host:xxxxxxxxxxx.net
Origin:
http://xxxxxxxxxxxxx.net
Referer:
http://xxxxxxxxxxxxx.net/filemanager/filemanager.php
User-Agent:Mozilla/5.0 (Windows NT 5.1) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/28.0.1500.72 Safari/537.36
X-Requested-With:XMLHttpRequest
Form Data
securitytoken:1374966662-571d23q5rtyqo3uiht70d396a2423a97095dc88b
adminhash:7981e222c687a5780tqfju3hp095rt8c1a39795f 21
do:findfiles
dir:/home/aaaaaaaaaaaaaa/forum/admincp
Response Headers
Cache-Control

rivate, post-check=0, pre-check=0, max-age=0
Connection:Close
Content-Type:text/xml; charset=windows-1252
Date:Sat, 27 Jul 2013 23:11:25 GMT
Expires:0
Pragma:no-cache
Server:Apache/stuff stuff stuff
Transfer-Encoding:chunked
X-Powered-By:PHP/5.3.18
Same kind of thing when you go to a page. All the cookies are listed in the request header