Its little longer trick, instead of using Shockwave, you should use the WebBrowser and navigate to an ashx or aspx page with all cookies set from your cookiecontainer to webbrowser's cookies.
In order to set cookie correctly you must create a page on your asp.net website as "RedirectWithSession.ashx",
public class RedirectWithSession : IHttpHandler{
public void ProcessRequest(HttpContext context){
Response.Cookies.Add("ASP.NET_SessionID", Request.QueryString["SessionID"]);
Response.Redirect(Request.QueryString["RedirectUrl"]);
}
}
Now in your WPF app, you must find out ASP.NET_SessionID cookie and pass it on the url to webbrowser as,
http://host.com/RedirectWithSession.ashx?SessionID=[SessionID]&RedirectUrl=[Url]
Your webbrowser will first visit the handler, it will then set session correctly and then your video url will be loaded, this way your session of your webservice context and webbrowser context will be shared.
I just showed you example of ASP.NET_SessionID , you can pass multiple cookies. This is the best way to do it, you can also use custom page and javascript etc, but i dont know if they will work correctly in all security modes.