This code downloads a .torrent file from Russian torrent tracker rutracker.org, but this is a good example of downloading a file, which needs cookies and a "referer" header with NSURLConnection and NSData. All cookies are saved/loaded to/from system storage (that is used by Safari).

gistfile1.m

//  RutrackerSimpleDownload
//  Created by Alexander Gusev on 12.04.13.
//  Copyright (c) 2013 Alexander Gusev. All rights reserved.
//  http://goooseman.ru


        // Variables //
      
        NSString *username = @"";
        NSString *password = @"";
        NSInteger fileID = 4296614;
        NSString *fileLocation = @"/Users/goooseman/Downloads/"; //should be /path/to/file/ not /path/to/file. ~ doesn't work here
        
        // Login Session (Getting cookies) //
        
        NSURL *loginUrl = [NSURL URLWithString:@"http://login.rutracker.org/forum/login.php"];
        NSMutableURLRequest *loginRequest = [NSMutableURLRequest requestWithURL:loginUrl];
        NSHTTPURLResponse *loginResponse;
        NSError* loginError;
        
        NSString *post = [NSString stringWithFormat:@"login_username=%@&login_password=%@&login=Вход", username, password];
        NSLog(@"%@", post);
        NSData *postData = [post dataUsingEncoding:NSUTF8StringEncoding allowLossyConversion:YES];
        
        [loginRequest setValue:[NSString stringWithFormat:@"%ld",[postData length]] forHTTPHeaderField:@"Content-Length"];
        [loginRequest setTimeoutInterval:15];
        [loginRequest setHTTPBody:postData];
        [loginRequest setHTTPMethod:@"POST"];
        [loginRequest setHTTPShouldHandleCookies:YES];
        
        [NSURLConnection sendSynchronousRequest:loginRequest returningResponse:&loginResponse error:&loginError];
        

    
        
        // Download file //
        
        NSURL *torrentUrl = [NSURL URLWithString:[NSString stringWithFormat:@"http://dl.rutracker.org/forum/dl.php?t=%ld", fileID]];
        NSLog(@"%@", torrentUrl);
        NSHTTPURLResponse *torrentResponse;
        NSError *torrentError;
        NSMutableURLRequest *torrentRequest = [NSMutableURLRequest requestWithURL:torrentUrl];
        
        NSString *torrentPost = [NSString stringWithFormat:@"t=%ld", fileID];
        NSData *torrentPostData = [torrentPost dataUsingEncoding:NSUTF8StringEncoding allowLossyConversion:YES];
        
        [torrentRequest setValue:[NSString stringWithFormat:@"%ld",[postData length]] forHTTPHeaderField:@"Content-Length"];
        [torrentRequest setHTTPShouldHandleCookies:YES];
        [torrentRequest setHTTPBody:torrentPostData];
        [torrentRequest setHTTPMethod:@"POST"];
        [torrentRequest setValue:[NSString stringWithFormat:@"t:%ld", fileID] forHTTPHeaderField:@"header"];
        [torrentRequest setValue:[NSString stringWithFormat:@"http://rutracker.org/forum/viewtopic.php?t=%ld", fileID] forHTTPHeaderField:@"Referer"];
        
        
        NSData *torrentUrlConnection = [NSURLConnection sendSynchronousRequest:torrentRequest returningResponse:&torrentResponse error:&torrentError];
        
        [torrentUrlConnection writeToFile:[NSString stringWithFormat:@"%@[rutracker.org].t%ld.torrent", fileLocation, fileID] atomically:YES];