I think you might be stretching the technologies a little bit too far. The webbrowser control in windows forms are usually designed to give you basic html rendering from local files or internet, but it shouldn't be used to replace a full-fledge web browser.
If you want to authenticate against a SSO provider, then you have to use the right libraries, in this case from Windows Identitity Foundation, with Microsoft.IdentityModel you will get claims authentication mechanisms to handle the claims from your SSO provider. Cookies cannot be shared across applications, in fact some new web technologies are designed just to avoid that, so in my opinion try to use WIF instead of a webbrowser control.
Hope it helps,
