OK this was totally pissing me off. What i did is quite simple after hitting my
head on the wall i did the following.

Setup the project and just have it mirror a page so it will create the
project. Just set the maximum mirroring depth to 1 and the external mirror
depth to 0. If possible find a page that you can tell if you are logged in or
not on. Usually there will be something like welcome "username" or something
like that. This will let you see if you got it to work or not. Go ahead and
mirror that page without worrying about logging in. This is important so that
the project can already have been created as we need it to make the
cookies.txt file as well as being able to choose "Update existing download"
for the action. Once you have that setup let it mirrior the site which should
only take a few seconds since you limited to 1 page. Go ahead and close
WinHTTrack for now we will open it up again later.

Now go to the project's folder. Default in windows is C:\My Web
Sites\PROJECT_NAME_HERE
you should see a file named cookies.txt go ahead and open it and take a look.
This is what we are going to edit.

Open up firefox and download the extension "Export Cookies" currently you can
find it at <https://addons.mozilla.org/en-US/firefox/addon/8154>
install the addon and restart firefox so that it finishes installing. Now we
are going to clear your old cookies so we can just see the ones we want. First
go to the login page of the site you want to login to. Sign out if necesarry
so you can see the login form. in firefox go to Tools->Clear Private Data and
make sure cookies is checked. This will clear all your cookies so you dont
have any but the one for the site you are wanting to log in. click the clear
private data now button. Now that the cookies are cleared, go ahead and login
with the form. once you have logged in on firefox go to Tools->Export
Cookies... save the cookies.txt file over the cookies.txt file in your
projects directory which you created already (The one at C:\My Web
Sites\PROJECT_NAME_HERE).

Now go ahead and start up WinHTTack select your project from the existing
projects drop down and click next. Now go ahead and run it with the old
settings which should make it just do the one page so you can check if it
worked or not. Once its done view the website and hopefully you should be able
to see that page shows you are logged in. Once you know its working go ahead
and adjust the options back so its not restricted to one page and then mirror
the site. Hope this helps!