Action:
Login page enter a username and password, after that .ASPXAUTH cookie set and these are maintain all the rest of the http request
The above said cookie (.ASPXAUTH) not stored in cookie section. Please refer the screen shot
Response header set a .ASPXAUTH cookie
Once we pass the valid credentials request header (get method) maintain the same cookie throughout the session

Recorded the above login in jmeter while running the .ASPXAUTH cookie not set.
Let me know how can I handle this?


Try using cookie manager for managing the cookie automatically. This will take care of your cookies and it works in most of the cases.You can also check the below URL on how to build a basic web test plan.
https://jmeter.apache.org/usermanual/build-web-test-plan.html
Hope it helps.