Unfortunately there is a bug in the Cookie Manager in version 2.3.1.
If "Clear Coookies each iteration" is selected, then all threads share the same cookies.
The Cookie Manager behaves OK if you don't select this option.
See [http://issues.apache.org/bugzilla/show_bug.cgi?id=44042 Bug 44042]
This [http://markmail.org/message/bis6om3wnpqtqin5 mail message] has details on some work-rounds.