You can also explore the option of IsolatedStorage (IS) in Silverlight. IS is something like "cookies on steriods" where you get more flexibility than the traditional cookie and storate limie is 1MB per Silverlight app which could be extended by taking permission from the user. The main advantage of IS is you could store any object/file streams and only your app gets access to it from alls browser (IE & FireFox) installed on the same machine.
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Thanks
Jeetu Maker
http://jeetumaker.blogspot.com
(Light_up_your_apps) using Silverlight.2.0;