Get header
S This expression returns the HTTP request header item with the given name.
Normal things passed in HTTP request headers include "Host", "Pragma", "Cache-Control", "Accept-Language", "Accept-Encoding", "User-Agent", etc.
More info at this link.
Cookies are passed as header values, but can be read with the Request > Get cookie expression.
If you are debugging your website, you might find the Developer Tools built into browsers useful, particularly the Network tab.
Fusion extension Web Query Object, and later CF2.5-only versions of Get object support adding HTTP request header values. The Download object does not support adding them.