Sometimes you can't use CURLOPT_COOKIEJAR and CURLOPT_COOKIEFILE becoz of the server php-settings(They say u may grab any files from server using these options). Here is the solution
1)Don't use CURLOPT_FOLLOWLOCATION
2)Use curl_setopt($ch, CURLOPT_HEADER, 1)
3)Grab from the header cookies like this:
preg_match_all('|Set-Cookie: (.*);|U', $content, $results);
$cookies = implode(';', $results[1]);
4)Set them using curl_setopt($ch, CURLOPT_COOKIE, $cookies);
Good Luck, Yevgen